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Re: st: Ordinal logit with sample selection


From   Sebastian Baumeister <baum_statal@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Ordinal logit with sample selection
Date   Thu, 19 Oct 2006 16:50:32 +0200

You might cosinder using the ssm wrapper for gllamm

see
http://www.gllamm.org/ssm.html
http://www.keele.ac.uk/depts/ec/wpapers/kerp0514.pdf

Regards,

Sebastian

Jenny Säve-Söderbergh schrieb:

Dear All,
I have a problem which I really could use some help on!
I have data on individuals either selecting funds for their portfolio or not selecting funds(1 /0 variable). For those who did select funds, I have an ordinal variable representing the choice of a high, medium or low risk fund (risk=1,2,3). I am interested only in the choice of portfolio risk, but I want to control for the possible selection arising from not everyone selecting funds. Therefore I want to simultaneously estimate an ordinal logit model and a Heckman selection model.
My data looks like
Id First choice Second choice

1 0 .
2 1 LOW=1
3 1 HIGH=3
4 0 .
5 1 MEDIUM=2

Would anyone know how I can do this? Would it be possible just to do a probit equation on the first choice, calculate the Mills ratio, and then include these in the ordinal probit?
I would greatly appreciate any suggestions.
Jenny Säve-Söderbergh




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