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From |
Maarten buis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: estimating the covariance matrix of probit two stage procedure |

Date |
Mon, 24 Dec 2007 09:24:35 +0000 (GMT) |

--- "Armelini, Guillermo" <[email protected]> wrote: > I'm trying to estimate a recursive simultaneous equation using a > probit model in the selection stage and a conditional censored > regression in the second stage. Specifically, the model is the > following one: > > Z(i)=AV(i)+U(i) (equation 1) > > Z(i)=1 if Z(i)>0 > > Z(i)=0 if Z(i)<=0 > > where A is a vector of parametes and V is a set of covariates for > each (i) > > Then I calculate Lambda which is the inverse mills of the predicted > values of equation one for those observations in which the Dependent > Variable is equal to 1 > > The second step is to calculate the tobin model: > > Y(i)=bX(i)+E(i) if Z(i)=1 (second equation) > > In this equation "bs" are the coefficients to be estimated and "X" is > a vector of covariate which includes Lambda (which is the inverse > mills of the predicted values of equation one in which the DV is = 1) > > My question is how can I correct the covariance and the variance of > the parameters since, Lee, Maddala and Trost (1980) suggest that > everytime a two stage model like the one I describe before is > estimated, a procedure to correct the variance and covariance of the > parameters should be run. > > Is anybody aware about how to do this in Stata? Yes: heckman Y X, select(V) twostep X should not include lambda (Stata does that for you) Best whishes (to you and everybody else on the list), Maarten ----------------------------------------- Maarten L. Buis Department of Social Research Methodology Vrije Universiteit Amsterdam Boelelaan 1081 1081 HV Amsterdam The Netherlands visiting address: Buitenveldertselaan 3 (Metropolitan), room Z434 +31 20 5986715 http://home.fsw.vu.nl/m.buis/ ----------------------------------------- ___________________________________________________________ Support the World Aids Awareness campaign this month with Yahoo! For Good http://uk.promotions.yahoo.com/forgood/ * * 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/

**Follow-Ups**:**RE: st: estimating the covariance matrix of probit two stage procedure***From:*"Armelini, Guillermo" <[email protected]>

**References**:**st: estimating the covariance matrix of probit two stage procedure***From:*"Armelini, Guillermo" <[email protected]>

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