st: RE: RE: Multinomial sample selection with IV estimation, selmlog with ivreg, is it right?

[Umid Aliev <U.Aliev@leeds.ac.uk>]

Dear Martin,
Many thanks for the advice. I briefly looked through the cmp command and Roodman's paper.
It seems that it is relevant to my case, but in the description the example is given for Heckman's
selection model, where the selection variable is binary. In my case it is multinomial, since I have 4
different ownership categories. Is it possible to fit it into cmp? 
Any advice on that would let me save lots of time.
Many thanks,
Umid

________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martin Weiss [martin.weiss1@gmx.de]
Sent: 10 August 2010 11:45
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Multinomial sample selection with IV estimation, selmlog with ivreg,  is it right?

<>

Also  look at

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ssc d cmp
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HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Umid Aliev
Sent: Dienstag, 10. August 2010 12:41
To: statalist@hsphsun2.harvard.edu
Subject: st: Multinomial sample selection with IV estimation, selmlog with
ivreg, is it right?

Dear Stata users,
I try to estimate the wage and employment equations using firm-level data.
The sample includes firms of various ownership structures: foreign owned,
domestic private, and state.
It is hypothesized that there are differences in intercept and slope
coefficients between the firms of different ownership groups.
Since the ownership structure is a decision variable it is treated as
endogenous.
The endogeneity of the ownership variable is to be controlled by use of
endogenous switching regime model,
where sample selection/endogeneity is corrected by the two-step procedures
similar to the well-known Heckman two-step estimator,
although now the first step - ownership decision equation is estimated as a
multinomial logit model.
The second step is OLS. All these procedures are implemented with  -selmlog-
command in Stata.
However, in my case the second state equation cannot be estimated through
OLS as both wage and employment equations
contain other endogenous variables, which I plan to control through IV
estimation. Therefore is it possible to run
IV estimator on the second stage? In my understanding methodologically it is
OK to do so, as long as correction terms
are included into the second stage equation, although I am not sure, and I
don't know how to imlement it in Stata.
With this respect I would be grateful for any comments on whether it is a
right strategy to obtain correction terms
using selmlog and then to insert them into the regression on ivreg29, and if
yes then how to implement it in Stata?
Many thanks,
Umid Aliev
PhD student
Leeds University Business School
Leeds
UK
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