Yi Jiang,
Quoting yi jiang <[email protected]>:
> i remember someone here talked about running probit modle in the first
> stage and then use the fitted value as an independent variable for the
> second stage regression.
> How to interprete the fitted value in the second stage when it's no
> longer 0 or 1 ?
If the two-step model you have in mind is a linear regression in the second
stage, this is just -treatreg- with the -twostep- option, and is described
in the manual. You'll see on p. 283 that the second-stage regression is
augmented with the estimate of the hazard or inverse Mill's ratio from the
first-stage probit. That is, the inverse Mill's ratio provides the fitted
values.
Hope this helps.
--Mark
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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 +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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