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st: Computing inverse mills ratio from multiple year probit models

From   Tricia D <>
Subject   st: Computing inverse mills ratio from multiple year probit models
Date   Tue, 7 Jan 2014 14:26:07 +0100

Hi Statalisters,

I am trying to estimate a heckman sample selection model for panel data.

In contrast to the approach suggested in a previous statalist posting (, I would like
to estimate separate probit models for each of my 11 years in the first
stage and compute the respective inverse mills ratios.
This would be in line with the approached described by Semykina &
Wooldridge, 2011, "Estimation of dynamic panel data models with sample

However, I am unsure how to proceed from here - How can I compute the final
inverse mills ratio to include it into the second stage regression (xtpcse
or pooled OLS with time and firm dummies)? I have found a paper using this
approach but the authors only state that they computed the inverse mills
ratio using the predicted values from the probit models in the different
time periods and then included the IMR in the second stage regression. Yet,
I am unsure how to compute this in Stata.

I am looking for the Stata command to follow this approach - can anyone
help with this?

Thanks a lot,
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