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| From | <S.Jenkins@lse.ac.uk> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | st: Multivariate probit with sample selection |
| Date | Thu, 18 Aug 2011 10:09:52 +0100 |
------------------------------ Date: Wed, 17 Aug 2011 21:01:23 +0200 From: "Knoller, Christian" <knoller@bwl.lmu.de> Subject: st: Multivariate probit with sample selection Hello, I have a dataset that contains insurance choices of an insurance company's portfolio. Policyholders can decide whether to purchase a base contract or not. Those that have purchased the base contract can also purchase two additional coverages. I am interested in what policyholders purchase which of these two additional contracts. The problem is that I do not observe if policyholders that have not purchased the base contract would have purchased the additional coverages. So running a bivariate probit regression only using those policyholders that have purchased the base contract might cause some sample selection bias. Is it possible to estimate a bivariate probit regression with sample selection in advance, i.e. a model similar to heckprob but with an additional outcome equation, or in other words a model with one selection equation and two outcome equations? Thank you very much, Christian ================================ Yes, it is possible. See the examples, with downloadable code, discussed by L Cappellari & SP Jenkins, 'Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation'. The Stata Journal, 6 (2), June 2006, 156-189. [Article is free to download from Stata J website] Stephen ------------------------------------- Professor Stephen P. Jenkins <s.jenkins@lse.ac.uk> Department of Social Policy London School of Economics and Political Science Houghton Street, London WC2A 2AE, U.K. Tel. +44 (0)20 7955 6527 Changing Fortunes: Income Mobility and Poverty Dynamics in Britain, OUP 2011, http://ukcatalogue.oup.com/product/9780199226436.do Survival Analysis using Stata: http://www.iser.essex.ac.uk/survival-analysis Downloadable papers and software: http://ideas.repec.org/e/pje7.html Please access the attached hyperlink for an important electronic communications disclaimer: http://lse.ac.uk/emailDisclaimer * * 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/