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Re: st: Selection with an endogenous ordinal variable


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Selection with an endogenous ordinal variable
Date   Tue, 8 Feb 2011 10:54:46 -0500

Filipe Silva <filipeourico@googlemail.com>:
I don't understand your problem statement--can you clarify what the outcome and
endogenous ordinal var are, and what form of selection is hypothesized?
You may also want to look at -cmp- on SSC for MLE options.

On Tue, Feb 8, 2011 at 5:57 AM, Filipe Silva
<filipeourico@googlemail.com> wrote:
> 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?
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