Dear All,
I have a problem which I really could use some help on!
I have data on individuals either selecting funds for their portfolio or not
selecting funds(1 /0 variable). For those who did select funds, I have an
ordinal variable representing the choice of a high, medium or low risk fund
(risk=1,2,3). I am interested only in the choice of portfolio risk, but I want
to control for the possible selection arising from not everyone selecting
funds. Therefore I want to simultaneously estimate an ordinal logit model and a
Heckman selection model.
My data looks like
Id First choice Second choice
1 0 .
2 1 LOW=1
3 1 HIGH=3
4 0 .
5 1 MEDIUM=2
Would anyone know how I can do this? Would it be possible just to do a probit
equation on the first choice, calculate the Mills ratio, and then include these
in the ordinal probit?
I would greatly appreciate any suggestions.
Jenny S�ve-S�derbergh
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