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


From   "Maertens, Miet" <Miet.Maertens@econ.kuleuven.be>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Econometrically sound to use Mills ratio after mprobit?
Date   Mon, 10 Apr 2006 10:35:18 +0200

Dear Stephen,

Maybe the following two articles by Wooldridge and by Lechner can help
you further: 
http://www.msu.edu/~ec/faculty/wooldridge/current%20research/ape1r5.pdf
http://ideas.repec.org/p/iza/izadps/dp91.html

I'm also trying to perform a similar estimation with stata but I'm
struggling with calculating the Inverse Mills ratio's.  Could you let me
know how exactly you are implementing the procedure?

Thanks,
Miet  

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stephen
Johnston
Sent: 07 April 2006 18:35
To: statalist@hsphsun2.harvard.edu
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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