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st: Marginal effects after log-linear sample selection models


From   Shehzad Ali <sia500@york.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Marginal effects after log-linear sample selection models
Date   22 Feb 2008 19:00:50 +0000

Dear statalisters,

I need some help with calculating marginal effects of dummy variables in a log-linear model after adjusting for sample selection and endogeneity biases. I would truly appreciate any help on this.

In my model, the final outcome variable is log_y which is only observed if selection_var=1. Both log_y and selection_var are also affected by a common endogenous variable (endo). selection_var and endo are both dummies.

The model I am using is summarised below:

biprobit (selection_var= x1 x2 endo) (endo=x1 x2 x3)

Then I predict Inverse Mills Ratio (imr) for selection_var, followed by:

treatreg log_y x1 x2 imr, treat(endo=x1 x2 x3)

This gives me a coefficient for endo but I dont know how this would be interpreted because endo also indirectly appears through IMRs. Can you kindly suggest how to estimate the marginal effect of endo on y?

Sincere thanks,

Ali


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