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st: Econometrically sound to use Mills ratio after mprobit?
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?
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