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Re: st: Heckman ordered probit

From   Ian Watson <[email protected]>
To   [email protected]
Subject   Re: st: Heckman ordered probit
Date   Tue, 26 Jul 2005 10:37:54 +1000

Laura Serlenga wrote:

ls> i am  relatively new to stata but, since i am  currently  working on
ls> migration issues (intention to return and remittance) with cross-sectional
ls> data. i am finding it very useful. However, I need to  run a Heckman
ls> selection model with an ordered probit in the outcome equation. I saw a
ls> couple of messages on the list dated 2003, does anybody  know whether there
ls> has been any further development on the issue? would you suggest any other
ls> solution rather than modifying the heckprob.ado file?

One solution is to run a probit selection model based on inclusion or
exclusion from the observed variable (y_1), calculate the inverse mills
ratio as a correction factor, and then incorporate that correction
factor into the ordinal probit model for the outcome you are modelling

For example,

probit y_1 xvars ...

capture drop hat
capture drop invmills
predict hat if e(sample), xb
gen invmills = exp(-.5*hat^2)/(sqrt(2*_pi)*normprob(hat))

oprobit y_2 xvars ... invmills

Kind regards, 

Ian Watson
Senior Researcher
acirrt, University of Sydney
NSW, 2006, Australia

phone: 02 9351 5622
email:[email protected]

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