Re: st: RE: Econometrically sound to use Mills ratio after mprobit?

[Stephen Johnston <sjohns21@umbc.edu>]

Hello Miet,

Thanks for your advice.  Here is how I understand the procedure to  
work, I read this on an archived statalist post and I have tested it.

mprobit y x1 x2 x3

predict phat if e(sample), xb outcome (1)

capture drop phat
capture drop mills

gen mills = normden(phat)/norm(phat)

reg y2 x1 x2 mills

For the "outcome" command in the predict line, you have to specify  
which of the choice outcomes (in your dependent variable) you are  
predicting a probability for.  In this case the probability predicted  
for the choice that is set equal to 1.  You can then generate an IMR  
for each choice in y.

You can check that this works by generating the inverse mills ratio  
from a probit and then including it in an OLS equation - then use the  
twostep command for the heckman procedure to make sure the results  
match.  For this you will not need to specify an outcome since it  
will be generated from a probit.  I hope this helps.  Let me know if  
you have any trouble.

Thanks,
Stephen


On Apr 10, 2006, at 4:35 AM, Maertens, Miet wrote:


> Dear Stephen,
>
> Maybe the following two articles by Wooldridge and by Lechner can help
> you further:
> http://www.msu.edu/~ec/faculty/wooldridge/current%20research/ 
> ape1r5.pdf
> http://ideas.repec.org/p/iza/izadps/dp91.html
>
> I'm also trying to perform a similar estimation with stata but I'm
> struggling with calculating the Inverse Mills ratio's.  Could you  
> let me
> know how exactly you are implementing the procedure?
>
> Thanks,
> Miet
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stephen
> Johnston
> Sent: 07 April 2006 18:35
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Econometrically sound to use Mills ratio after mprobit?
>
> Hello,
>
> I am 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 equation.  I know how to
> implement this procedure, however, I have not been able to find any
> literature that proves 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,
> Stephen
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>
> Disclaimer: http://www.kuleuven.be/cwis/email_disclaimer.htm
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/