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Re: st: logit with sample selection


From   "jean ries" <jean.ries.l@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: logit with sample selection
Date   Mon, 25 Sep 2006 14:44:34 +0200

On 9/24/06, Nishant Dass <nishant_dass@yahoo.com> 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.
I wonder if this approach is correct, i.e. if there is a theoretical
justification for it. I have never seen one (but this may reflect my
ignorance ...;-)) Even if the approach is correct, you will have to
correct the standard errors in your second step regression.

A much better approach would be to choose a probit model. In Stata you
could then use the -heckprob- command.

Hope this helps,

Jean
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