I am trying to estimate a selection type model in the tradition of the
heckprob command however where the first stage has multiple outcomes
(four) and the second stage is a standard logit/probit. My approach to
this is to estimate the first stage as a multinomial logit, get the
predicted probabilities, and plug them into the second stage logit.
However, because I assume that the errors from the first and second
stage models are correlated, I want to generate the inverse mills ratio
(IMR) from the first stage multinomial logit and add those in the second
stage equation (this is discussed in Millimet's faq on endogeniety).
Here are my questions:
1. from a statistical point of view, does this make sense?
2. how can I obtain the IMR after the mlogit? I have searched the
faqs, etc but cannot find an answer.
