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st: Probit model with randomly missing obs in the RHS: 2-stage vs joint estimation


From   Tom Trikalinos <ttrikalin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Probit model with randomly missing obs in the RHS: 2-stage vs joint estimation
Date   Wed, 4 Mar 2009 19:43:50 -0500

Sending on behalf of Marian, who has problems posting to the list --
forgive the title, it is mine, not Marian's (-- and i do not claim i
comprehend the question.)
t

-----------------------------------------------------
Marian writes:

Hi,
I need to estimate a probit with a continous variable in the RHS that
it is only observed when the binary outcome is 1. I first  estimate
the continuous variable with those observations where there is no
censoring and estimate predicted values for all the observations.
(Selection is random)
Then I set the predicted value for all observations in the RHS to
estimate the probit and correct standard errors  (Topel-Murphy) for
the fact I include an estimated variable in the model.
How may I estimate both equations jointly (or recursively) and
efficiently instead of in two-stages?
Thank you,
Marian

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