Check Hardin's article first, he gives a general treatment and shows
why the trick with -mat accum- is usable. You would have to take the
derivatives with respect to the first stage parameters properly, and
don't forget about the -oprobit- thresholds, too. If you are lucky,
you will just have a more complicated expression for the [iweight=]
with both zz1 and zz2 that would be offset by the difference in
thresholds somehow, but it may happen that what you'd get won't be
expressable in -mat accum- terms, and you would have to program that
in Mata using -st_view()-s (which tends to be more elegant anyways).
I personally don't think the first stage -oprobit- is a very good
idea... but I am not your advisor/reviewer, anyway :)).
On 1/17/07, X W <[email protected]> wrote:
I am having some trouble figuring out how to extend
the Murphy-Topel correction for standard errors in a
two-step model with an ordered probit in the first
stage and a logit in the second stage.
--
Stas Kolenikov
http://stas.kolenikov.name
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