Re: st: Ordinal logit with sample selection

[Sebastian Baumeister <baum_statal@web.de>]

You might cosinder using the ssm wrapper for gllamm

see
http://www.gllamm.org/ssm.html
http://www.keele.ac.uk/depts/ec/wpapers/kerp0514.pdf

Regards,

Sebastian

Jenny S�ve-S�derbergh schrieb:

> 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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