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Re: st: Re: sample selection in multinomial logit


From   "R.E. De Hoyos" <redeho@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: sample selection in multinomial logit
Date   Tue, 24 Jan 2006 17:21:51 -0000

Andre, Statalist,

The papers and commands that I suggested on my previous email deal
with a problem that is different from the one explained by Andre (as
pointed out by Rose M. earlier). I was thinking on a continuous
censored dependent variable with selection being controlled for by
the conditional probabilities deriving from a multinomial logit. I
apologize for any confusion that this might have caused.

Andre's case is different. He observes the complete distribution of
the dependent variable but has truncated independent variables
(firm data). Moreover his dependent variable is a discrete one.

The solution for continuous truncated variables is to rescale the
cumulative density F(.) so that it equals to 1 over the truncated
range. The -truncreg- explains the case for continuous truncated
models, where you can specify the value of the dependent variable
for which truncation occurs. The problem is that, as far as I know,
there is no Stata command to estimate a truncated mlogit.

I hope this helps clarifying the problem,

Rafa


----- Original Message ----- From: "Rose Medeiros" <rosem@cisunix.unh.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, January 21, 2006 6:35 PM
Subject: Re: st: Re: sample selection in multinomial logit



Rafa (and Andre),
I am not sure that the approach Rafa recommend is correct. If I recall correctly, in sample selection models, what is being adjusted for is missing values in the dependent variable. The case here appears to be one in which the independent variables are missing. If you don't have any information on the firms that aren't limited liability companies, then you may (I say may in deference to anyone who knows otherwise) be limited to running your analysis on only limited liability companies, since they are the population on which you have data. If you have some data, for example, the type of company they are for the other firms, then you could examine the relationship between your outcome and type of company (or whatever other data you have).
HTH,
Rose

R.E. De Hoyos wrote:


Andre,

You can read about this topic in the following references:

Bourguignon, F., Fournier, M. and Gurgand, M.
(2004) `Selection bias correction based on the multinomial logit
model: Monte-Carlo comparisons', \emph{Mimeo} DELTA, Paris.

Lee, L.F. (1983) `Generalized econometric models
with selectivity', \emph{Econometrica}, vol. 51, pp. 507-512.

Dubin, J.A. and McFadden, D. (1984) `An econometric
analysis of residential electric appliance holdings and
consumption', \emph{Econometrica}, vol. 52, 2.

-selmlog- can handle that problem:

http://www.delta.ens.fr/gurgand/selmlog12.htm

And -svyselmlog- takes into account survey design:

ssc install svyselmlog

I hope this helps,

Rafa


----- Original Message ----- From: "André Paul" <hcpats@hotmail.fr>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, January 21, 2006 5:24 PM
Subject: st: sample selection in multinomial logit


Dear all

I would like to estimate the effect of firm size (and some other variables) on the outcome of a credit application (accepted, refused, withdrawn by the firm, still under examination), using a multinomial logit model.
I can observe the outcome for all firms (the data are exhaustive for a certain population), but I have only the firm data (i.e the explanatory variables) for limited liability companies, which, I guess, excludes a lot of small firms.
Could someone advise me which statistical method would be appropriated in this case and how to handle it with stata?

Thanks a lot,
Andre

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--
Rose Anne Medeiros
Department of Sociology / Family Research Laboratory
University of New Hampshire
126 Horton Social Science Center
20 College Road
Durham, NH 03824
U.S.A.

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