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st: RE: Three-stage Heckprob selection model - how to do?


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Three-stage Heckprob selection model - how to do?
Date   Thu, 13 May 2010 21:07:47 +0200

<>

" Also ist it possible..."

Non German speakers should forget about the "t" in "ist"...



" Also does an ?oheckprob? command exist similarly to the ?oheckman? command
of an ordered probit regression as selection equation and a structural
probit equation in the second step?"


You may want to check out -ssc d cmp- which extends Stata`s capabilities in
this area...


HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Pascal Stock
Sent: Donnerstag, 13. Mai 2010 21:02
To: statalist@hsphsun2.harvard.edu
Subject: st: Three-stage Heckprob selection model - how to do?

Hello STATA Users,

I am trying to estimate the following:

1.) Decision whether to use an M&A advisor (0/1)
2.) The choice of the particular bank as advisor (0/1) among 50 possible
banks if in step 1 the decision is ?use an advisor = 1?
3.) After the particular choice of a bank as advisor in step 2 the
probability of a follow-on-acquisition (0/1).

Hence I have two steps of selection that depend on each other. How to do
this with the heckprob command? Or ist the triprobit command better suited?
Also ist it possible to do this ?by hand? by calculating the inverse mills
ratios by hand and inserting them as additional regressors? I know that the
variance of the estimated regressors has to be adjusted as the inverse mills
ratio is estimated as well and not known (Greene (2003), p. 785 and Heckman
(1979)).

Also does an ?oheckprob? command exist similarly to the ?oheckman? command
of an ordered probit regression as selection equation and a structural
probit equation in the second step?
An suggestions?

Kind regards

Pascal
____________________________________________
Pascal Stock, M.Sc. M.A. 
Ph. D. Candidate in Finance
Center for Doctoral Studies in Business
Graduate School of Economic and Social Sciences
& Chair of Corporate Finance
University of Mannheim

Phone: +49 (0) 621 - 181 3774
Mobile phone: +49 (0) 178 - 4981887
Email: stock@corporate-finance-mannheim.de
Internet: http://cdsb.uni-mannheim.de & http://cf.bwl.uni-mannheim.de 

Schloss, Mittelbau, Room M114
68131 Mannheim
Germany




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