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st: Murphy-Topel in a Tobit model

From   [email protected]
To   [email protected]
Subject   st: Murphy-Topel in a Tobit model
Date   Tue, 02 Mar 2004 16:43:34 -0500

We are trying to compute a Murphy-Topel variance estimate for a two-stage 
model where the two stages are independent (different data sets) and the 
second stage is a two-limit Tobit model which includes, as a predictor, a 
linear index based on the coefficients obtained in the first-stage 

If I am not mistaken, besides the usual covariance matrices for the 
coefficients for the first and second stages, the only thing we need to 
compute is the matrix of cross-product derivatives for the second-stage 
likelihood function summed across individual observations (see Greene, 
Econometric Analysis (4th ed.), p. 135. Is there a straightforward way 
for non-programmers to code this calculation in Stata? Has anyone done 
something similar?

Thanks for your help. 

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