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st: Econometrically sound to use Mills ratio in a OLS estimation after mprobit?


From   Luiz Gama <lcdgama@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Econometrically sound to use Mills ratio in a OLS estimation after mprobit?
Date   Sat, 5 Jan 2013 19:07:02 -0200

Dear stata users,

I'm estimating a multinomial probit for a selection equation with 3
choices and I am interested in using the inverse mills ratio generated
from the MNP in a second step OLS equation.  I know how to implement
this procedure, however, I have not find any literature that shows
that the Heckman two-step estimation procedure can appropriately and
directly extend from a probit selection equation to a multinomial
probit selection equation. Does anyone know of any papers that address
this issue?

Thanks,
-- 
Luiz Carlos Day Gama
Mestrando em Economia pelo Cedeplar/UFMG
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