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From |
"laura serlenga" <lserlenga@hotmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Heckman ordered probit |

Date |
Thu, 04 Aug 2005 23:14:59 +0200 |

Dear Ian,

Thanks a lot for your help and sorry for my late replay (was out of town).

I tried to compute the two-step procedure you suggested for a binary probit and then compare results with heckprob command. Estimations seem reasonable although with the two-step procedure I am loosing some observations with respect to the ml estimation. At this stage I don’t think I fully understand how the heckprob command works and how the missing observations of the latent probit equation are treated (?)

However, in this two step procedure I guess I also need to compute new standard error and rho once I introduce the inverse mills ratio. Do you think this is correct?

Many thanks again for your precious help.

Best wishes

Laura

Laura Serlenga wrote:

ls> i am relatively new to stata but, since i am currently working on

ls> migration issues (intention to return and remittance) with cross-sectional

ls> data. i am finding it very useful. However, I need to run a Heckman

ls> selection model with an ordered probit in the outcome equation. I saw a

ls> couple of messages on the list dated 2003, does anybody know whether there

ls> has been any further development on the issue? would you suggest any other

ls> solution rather than modifying the heckprob.ado file?

One solution is to run a probit selection model based on inclusion or

exclusion from the observed variable (y_1), calculate the inverse mills

ratio as a correction factor, and then incorporate that correction

factor into the ordinal probit model for the outcome you are modelling

(y_2).

For example,

probit y_1 xvars ...

capture drop hat

capture drop invmills

predict hat if e(sample), xb

gen invmills = exp(-.5*hat^2)/(sqrt(2*_pi)*normprob(hat))

oprobit y_2 xvars ... invmills

--

Kind regards,

Ian

-------------------------------

Ian Watson

Senior Researcher

acirrt, University of Sydney

NSW, 2006, Australia

phone: 02 9351 5622

email:i.watson@econ.usyd.edu.au

www.acirrt.com

-------------------------------

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**Follow-Ups**:**Re[2]: st: Heckman ordered probit***From:*Ian Watson <i.watson@econ.usyd.edu.au>

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