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st: Re: Econometrically sound to use Mills ratio after mprobit?
From |
"R.E. De Hoyos" <[email protected]> |
To |
<[email protected]> |
Subject |
st: Re: Econometrically sound to use Mills ratio after mprobit? |
Date |
Fri, 7 Apr 2006 17:45:36 +0100 |
Stephen,
I haven't come across such paper, however there have been several papers
dealing with selectivity-adjustment using the conditional probabilities of a
multinomial logit.
Check: -svyselmlog- (downloadable from SSC) and the references there.
The main point of debate is how to parameterize the conditional
probabilities: (1) make a normal transformation, (2) include the cond.
probabilities of the those categories not chosen, (3) semi-parametric
methods.
If you come across such paper, please let me know. I would be interested in
exploring the possibility of writing such a code.
Best,
Rafa
----- Original Message -----
From: "Stephen Johnston" <[email protected]>
To: <[email protected]>
Sent: Friday, April 07, 2006 5:34 PM
Subject: st: Econometrically sound to use Mills ratio after mprobit?
Hello,
I am 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 equation. I know how to implement this
procedure, however, I have not been able to find any literature that
proves 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,
Stephen
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