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st: Inverse mills ratio and ordered logit


From   Roberto Fontana <roberto.fontana@unibocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: Inverse mills ratio and ordered logit
Date   Thu, 5 Oct 2006 15:34:51 +0200

Dear Statalisters

I am running a two step estimation to check for selection bias. In the first 
stage I have a logit. In the second stage I use an ordered logit with some 
explanatory variables plus the inverted mills ratio calculated from the first 
stage. 

I am wondering whether this is a correct way to proceed (i.e. whether I get 
the corrected standard errors in the second stage). Would there be additional 
problems if, instead of the ordered logit, I had a multinomial logit in the 
second stage?

In general, can anyone suggest any published article which tried a similar 
procedure without OLS in the second stage. 

Thank you very much for yor help.

Roberto


-- 
Roberto Fontana (PhD)
CESPRI - Bocconi University
Via Sarfatti 25 
20136 MILAN 
ITALY 
Tel: 	(+)39 02 58363037 
Fax: 	(+)39 02 58363399
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