st: Selection with an endogenous ordinal variable

[Filipe Silva <filipeourico@googlemail.com>]

Dear all,

I am currently trying to estimate a model of selection, where the main
explanatory variable in this model is endogenous (and ordinal!). All
of them observed.
This should be easily done with -heckman-, if not for the endogenous regressor.

I wonder if there is any package that can handle (MLE) estimation of such model?

Alternatively I have considered a two-step procedure (probit, obtain
mills, use in ivreg2 to account for endogeneity- as far as I've
understood this is the procedure described in Wooldridge's textbook,
2002 pp. 567-570 as an extension to "heckit", even though I'm not
totally sure it applies to an ordinal endogenous var.) but the the
Variance correction in the second step is rather hard to compute. I
have considered using the bootstrap for such correction.

Could anyone please advise me if this reasoning is correct or if there
is an alternative way to do it?

Thank you very much in advance.

Filipe
University of Coimbra
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/