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Re: st: Econometrically sound to use Mills ratio in a OLS estimation after mprobit?


From   Yuval Arbel <[email protected]>
To   [email protected]
Subject   Re: st: Econometrically sound to use Mills ratio in a OLS estimation after mprobit?
Date   Sat, 5 Jan 2013 22:31:13 -0800

Dear Luiz,

What you probably need is a command called -selmlog- that may be found
in the -ssc-. The objective of the command is to run the Heckman's
correction where the selection equation consists of several
categories.

Note also, that this command is now available only for the -svy- data
structure, so you might want to look at -svyselmlog-

On Sat, Jan 5, 2013 at 1:07 PM, Luiz Gama <[email protected]> wrote:
> Dear stata users,
>
> I'm estimating a multinomial probit for a selection equation with 3
> choices and I am interested in using the inverse mills ratio generated
> from the MNP in a second step OLS equation.  I know how to implement
> this procedure, however, I have not find any literature that shows
> that the Heckman two-step estimation procedure can appropriately and
> directly extend from a probit selection equation to a multinomial
> probit selection equation. Does anyone know of any papers that address
> this issue?
>
> Thanks,
> --
> Luiz Carlos Day Gama
> Mestrando em Economia pelo Cedeplar/UFMG
> *
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-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: [email protected]
e-mail2: [email protected]
*
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