
From  Stephen Johnston <sjohns21@umbc.edu> 
To  statalist@hsphsun2.harvard.edu 
Subject  Re: st: RE: Econometrically sound to use Mills ratio after mprobit? 
Date  Mon, 10 Apr 2006 12:01:48 0400 
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: ownerstatalist@hsphsun2.harvard.edu
[mailto:ownerstatalist@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 twostep 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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