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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 22:45:48 -0800

Another possibility is to simplify the dependent variable and make it
a two categories variable (0 - below the mean, 1 - above or equal to
the mean)
In fact, this is what a referee recommended in one of my papers, where
the dependent variable was the wage level defined as a categorical
variable, and the reference point in the questionnaire was the average
level of wage in the country.

On Sat, Jan 5, 2013 at 10:31 PM, Yuval Arbel <[email protected]> wrote:
> 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
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/faqs/resources/statalist-faq/
>> *   http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> Dr. Yuval Arbel
> School of Business
> Carmel Academic Center
> 4 Shaar Palmer Street,
> Haifa 33031, Israel
> e-mail1: [email protected]
> e-mail2: [email protected]



-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: [email protected]
e-mail2: [email protected]
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


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