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RE: st: RE: Inverse mills ratio and ordered logit


From   "Maarten Buis" <M.Buis@fsw.vu.nl>
To   "Roberto Fontana" <roberto.fontana@uni-bocconi.it>
Subject   RE: st: RE: Inverse mills ratio and ordered logit
Date   Mon, 9 Oct 2006 10:09:42 +0200

Roberto,
I'm no expert on ordered probit with a selection equation,
but if the 'normal' heckman twostage model needs a 
correction than the 'ordered probit' heckman twostage model 
will probably also need a correction. However, I don't know 
the correction, nor know of any published work on it (but 
since I am no expert, that does not mean much). 
Alternatively, you could implement the model using Stata's 
-ml- command. The maximum likelihood estimates don't need a 
correction.  

Since this isn't much of an answer, I have forwarded this 
message to the statalist in the hope somebody else can give 
you more advise. (Even if I knew the answer it would be good 
to let such a discussion go over the statalist, because: 
a) I might make a mistake and somebody else might catch it, 
and b) other people may be following this thread and want to 
know the answer.

HTH,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z434 

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------

--- Roberto Fontana  wrote:
> I agree with you that proit - oprobit is the best option.
> To my knowledge, simply using the IMR does not correct the standard errors
> in the second stage (or does it?). Are you aware of a procedure in Stata
> that allows to correct them? More in general do you know a published paper
> that have employed the two-stage procedure with probit-oprobit and Mills ratio?



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