st: Multivariate probit with sample selection

[<S.Jenkins@lse.ac.uk>]

------------------------------

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

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