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


From   "R.E. De Hoyos" <redeho@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Econometrically sound to use Mills ratio after mprobit?
Date   Fri, 7 Apr 2006 17:45:36 +0100

Stephen,

I haven't come across such paper, however there have been several papers dealing with selectivity-adjustment using the conditional probabilities of a multinomial logit.

Check: -svyselmlog- (downloadable from SSC) and the references there.

The main point of debate is how to parameterize the conditional probabilities: (1) make a normal transformation, (2) include the cond. probabilities of the those categories not chosen, (3) semi-parametric methods.

If you come across such paper, please let me know. I would be interested in exploring the possibility of writing such a code.

Best,
Rafa

----- Original Message ----- From: "Stephen Johnston" <sjohns21@umbc.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, April 07, 2006 5:34 PM
Subject: st: Econometrically sound to use Mills ratio after mprobit?



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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