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st: Two stage model question

From   Joanne Flavel <[email protected]>
To   [email protected]
Subject   st: Two stage model question
Date   Tue, 05 Oct 2010 17:13:12 +1030

I am trying to estimate a two stage panel data model to control for selection. I'm using random effects probit in the first stage to generate the correction but my concern is that my second stage outcome is not linear. I have tried looking through the archives in the hopes of not asking something which has already been answered and noted one entry from 2003: (RE: st: Inverse Mills Ratio after MLOGIT, Fri, 18 Apr 2003) the two step approach with control for selection only produces consistent estimates when the second stage is a linear regression model.

Is there a way to produce consistent estimates with a non linear second stage? I have not been able to find another model that is feasible for me to do this given I am using panel data and with all the econometric issues I am trying to address. Any advice and suggestions are welcome



Joanne Flavel
National Institute of Labour Studies
Flinders University

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