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From | Filipe Silva <filipeourico@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Selection with an endogenous ordinal variable |
Date | Tue, 8 Feb 2011 10:57:56 +0000 |
Dear all, I am currently trying to estimate a model of selection, where the main explanatory variable in this model is endogenous (and ordinal!). All of them observed. This should be easily done with -heckman-, if not for the endogenous regressor. I wonder if there is any package that can handle (MLE) estimation of such model? Alternatively I have considered a two-step procedure (probit, obtain mills, use in ivreg2 to account for endogeneity- as far as I've understood this is the procedure described in Wooldridge's textbook, 2002 pp. 567-570 as an extension to "heckit", even though I'm not totally sure it applies to an ordinal endogenous var.) but the the Variance correction in the second step is rather hard to compute. I have considered using the bootstrap for such correction. Could anyone please advise me if this reasoning is correct or if there is an alternative way to do it? Thank you very much in advance. Filipe University of Coimbra * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/