
From  "R.E. De Hoyos" <redeho@hotmail.com> 
To  <statalist@hsphsun2.harvard.edu> 
Subject  Re: st: RE: Econometrically sound to use Mills ratio after mprobit? 
Date  Mon, 10 Apr 2006 17:55:33 +0100 
Hello Miet,
Thanks for your advice. Here is how I understand the procedure to work, I read this on an archived statalist post and I have tested it.
mprobit y x1 x2 x3
predict phat if e(sample), xb outcome (1)
capture drop phat
capture drop mills
gen mills = normden(phat)/norm(phat)
reg y2 x1 x2 mills
For the "outcome" command in the predict line, you have to specify which of the choice outcomes (in your dependent variable) you are predicting a probability for. In this case the probability predicted for the choice that is set equal to 1. You can then generate an IMR for each choice in y.
You can check that this works by generating the inverse mills ratio from a probit and then including it in an OLS equation  then use the twostep command for the heckman procedure to make sure the results match. For this you will not need to specify an outcome since it will be generated from a probit. I hope this helps. Let me know if you have any trouble.
Thanks,
Stephen
On Apr 10, 2006, at 4:35 AM, Maertens, Miet wrote:
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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ Disclaimer: http://www.kuleuven.be/cwis/email_disclaimer.htm * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/
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