Daniel,
Quoting Daniel Caro <[email protected]>:
> Hello,
>
> I have a model with a censored dependent variable and sample
> selection. I'm
> estimating my selection equation (probit) and then including the
> mills ratio
> that I get from this equation as a covariate in my main equation
> (cnreg). It
> seems that my selection is informative (mills ratio is significant).
> I
> understand that in this case my coefficients are correct but the
> standard
> errors are not. Does anyone know how can I correct my standard
> errors?
You'll have to do it "by hand". Arthur Lewbel has a paper that discusses
this, "Simple Estimators for Hard Problems". You can get it from his home
page,
http://www2.bc.edu/~lewbel/default.html
Wooldridge's 2002 book, chapter 12, section 4 onwards, has a more detailed
discussion of how to go about it.
The alternative is bootstrapping, but I'm not a bootstrap expert; perhaps
someone else on the list would have something to say on this.
Hope this helps.
--Mark
>
> Thank you,
>
> Daniel
>
>
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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