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st: Econometrically sound to use Mills ratio after mprobit?


From   Stephen Johnston <sjohns21@umbc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Econometrically sound to use Mills ratio after mprobit?
Date   Fri, 7 Apr 2006 12:34:32 -0400

Hello,

I am estimating a multinomial probit for a selection equation with 3 choices and I am interested in using the inverse mills ratio generated from the MNP in a second step equation. I know how to implement this procedure, however, I have not been able to find any literature that proves that the Heckman two-step estimation procedure can appropriately and directly extend from a probit selection equation to a multinomial probit selection equation. Does anyone know of any papers that address this issue?

Thanks,
Stephen
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