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st: Heckman probit model with endogenous explanatory variables


From   agostino@unical.it
To   statalist@hsphsun2.harvard.edu
Subject   st: Heckman probit model with endogenous explanatory variables
Date   Fri, 22 Feb 2008 12:19:02 +0100

dear all,
I have estimated an Heckman probit model, but I realize now that I have 
included two potentially endogenous explanatory variables (both in the 
selection and the main probit).
Do you reckon that estimating an ivprobit (selection process), retrieving the 
inverse Millís ratio and adding it to another ivprobit (main equation) would be 
an appropriate two-step procedure? If this is not the case (because of the non-
linearity of the main equation), I would be grateful if you could suggest me a 
Stata command (built in or not) that allows to instrument these variables. 
thank you very much for your help
Maria



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