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st: Multivariate probit with sample selection

From   "Knoller, Christian" <>
To   "" <>
Subject   st: Multivariate probit with sample selection
Date   Wed, 17 Aug 2011 21:01:23 +0200


I have a dataset that contains insurance choices of an insurance company's portfolio. Policyholders can decide whether to purchase a base contract or not. Those that have purchased the base contract can also purchase two additional coverages. I am interested in what policyholders purchase which of these two additional contracts. 
The problem is that I do not observe if policyholders that have not purchased the base contract would have purchased the additional coverages. So running a bivariate probit regression only using those policyholders that have purchased the base contract might cause some sample selection bias. 

Is it possible to estimate a bivariate probit regression with sample selection in advance, i.e. a model similar to heckprob but with an additional outcome equation, or in other words a model with one selection equation and two outcome equations?

Thank you very much,


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