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Re: st: logit with sample selection


From   Ian Watson <iangwatson@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: logit with sample selection
Date   Mon, 25 Sep 2006 08:27:41 -0400 (EDT)

Nishant

The approach you outline will work. The steps in Stata are straightforward.

For example, if participation has two outcomes (working or not working),
and you want an inverse mills ratio for the working outcome:

logit work  age edu children region
capture drop phat
capture drop imr
predict phat if e(sample), xb
gen imr = normden(phat)/norm(phat)


(Note that the capture drop lines are only needed if you insert this
code into a do file which runs multiple times).

Cheers
Ian

=====================
Ian Watson
University of Sydney
Australia


Nishant Dass wrote:
Dear list-members,

I would like to estimate a logit model with sample
selection but since there's only -heckprob- available in
Stata, I was wondering whether it would be incorrect to do
the following instead:

1. Estimate the selection equation using -logit-.
2. Calculate the inverse Mills' ratio (IMR).
3. Use the IMR from above as a regressor in a second-stage
logit model.

If this is a correct approach, my next question is:
How can one calculate the IMR after a logit model?  (I have
checked the Stata listserver archives but didn't find
anything related.)

Any help regarding the above would be much appreciated.
Thank you.

Nishant

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