hi rafa
thank you very much for your help. i will try this today.
is it ok if i bother you if i get stuck.
i am a stata newbie.
thanks once again
srini
>>> [email protected] 02/15/06 6:33 AM >>>
Srini,
Since the residuals in the logistic regression are i.i.d. with extreme value
distribution, to get the inverse of the mills ratio from the conditional
probability of a multinomial logit you will have to make a normal
transformation of it. You can read all about this procedure in Lee (1983)
Econometrica.
There is a Stata command that handles this:
http://www.delta.ens.fr/gurgand/selmlog12.htm
And the survey version of it is available from the SSC archives:
ssc install svyselmlog
I hope this helps,
Rafa
----- Original Message -----
From: "Srini Sankaraguruswamy" <[email protected]>
To: <[email protected]>
Sent: Tuesday, February 14, 2006 9:53 PM
Subject: st: calculating inverse mills ratios from a multiple logit.
> Dear Statlist members
> I am trying to calculate inverse mills ratios from a first stage multiple
> logit
> y ~ f(explantory variables)
> where y takes on 4 values 0,1,2,3 and the y are not ordered.
>
> I was wondering if anyone has coded this in stata.
>
> I would like to then use these inverse mills ratios in the second stage
> regression as
>
> Z ~ f(new explanatory variables, IME1-IME3)
>
> Thanks so much for your help
> Srini
>
>
>
> *
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> * http://www.ats.ucla.edu/stat/stata/
>
*
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*
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