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Re: st: Inverse Mills


From   lacetera@mit.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Inverse Mills
Date   Thu, 25 Sep 2003 23:01:28 -0400

I think that wooldridge (2001) textbook analyzes a similar case in his chapter
on self selection models.
hope this helps,
nico



Quoting Renzo Comolli <renzo.comolli@yale.edu>:

> Hi Danny
> 
> >I have the following model.
> >Y1 = b0 + a1Y1 + a3X3 + e1 (Y1 is binary)
> >Y2 = b1 + a2Y2 + a4X4 + e2 (Y2 is observed but its truncated at 0)
> 
> I really think there must still be one typo. I should read
> Y1 = b0 + a1Y2 + a3X3 + e1 (Y1 is binary)
> Y2 = b1 + a2Y1 + a4X4 + e2 (Y2 is observed but its truncated at 0)
> 
> 
> I undestand the intuitive idea you are shooting for. I have never seen what
> you propose. 
> You have to check the validity of your procedure.
> Clearly you have the poblem that when you do one regression and compute the
> inverse mills ration you have the other endogenous variable in, and that
> does not bode well. But I am not sure, you have to check it.
> 
> Good news now!!
> The technique that I would use to solve your problem (assuming your problem
> is in the way I wrote it) is just a modification of the technique which is
> reprogrammed in -reg3-
> . help reg3
> 
> Study the logic of -reg3-, if you have the manuals read it in there. If you
> don't have the manuals read 3SLS (3 stages least squares on text books),
> then instead of using -reg3- do the 3 steps using the estimators that you
> need to take into account the nature of Y1 and Y2
> 
> More good news!!
> As you know probit is preprogrammed
> . help probit
> 
> Also tobit is preprogrammed!!!!!!!!!
> . help tobit
> 
> I don't guarantee that the procedure I propose here, is a correct and valid
> one.  That's what I would do if I had really little time to think about the
> problem.
> 
> Good luck.
> 
> Ciao
> Renzo
> 
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