[Limdep Nlogit List] A selection qeustion--a quick follow-up

Thu Oct 18 17:47:28 EST 2007

Dear Dr. Tchetchik,
The way you outlined your problem resembles a partially observability
problem which can be solved in LIMDEP. Limdep also cites good
references in there and one by Boyes, W. J., D.L. Hoffman, and S. A.
Low. 1989. An Econometric analysis of the bank credit scoring problem,
Journal of Econometrics 40, 3-14 if i remember correctly.
Best wishes,
A.Baki Bilgic

--- Fred Feinberg <feinf at umich.edu> wrote:

> This exact question seems to come up a lot!
> 
> Two-step estimators via the Mills Ratio are "very 20 years ago".
> There are
> well-known problems with the entire approach (see the paper by Puhani
> on the
> issue). Quite a bit better is full-information maximum likelihood,
> which
> unless I'm wrong is like what Limdep uses for the ordinary Heckman
> model and
> the Heckman Probit model. But better still is using Bayesian methods.
> This is
> all covered in a perpetually-unpublished paper by me and two
> co-authors:
> 
> 
>
http://webuser.bus.umich.edu/feinf/research/Working_Papers/Feinberg,_Brown,_Ying_(2004)_-_Choice_Endogeneity.pdf
> 
> In that paper, you will find the Puhani cite, and also one to Lee
> (1983), who
> actually solved this problem classically long ago, as well as a
> discussion of
> the problem in general. There used to be Limdep code on the web to do
> this,
> and Google may be able to find it for you. We used Bayesian
> estimation
> (actually, a hierarchical Bayesian formulation, which allows for
> parameter
> heterogeneity), and found it to work quite well, if slowly.
> 
> Fred
> 
> =====
> 
> Fred Feinberg
> Hallman Fellow and Professor of Management
> Stephen M. Ross School of Business
> University of Michigan
> feinf at umich.edu
> 
> 
> 
> > I wish he'd had the sense to say something more scientific, such as
> that one
> > should not assume equal geographic distribution of genes for any
> particular
> > human abilities.
> >
> He didn't.
> 
> > Why he needed to say what he did is beyond me, unless he LIKES
> starting
> > trouble (which he seems to).
> >
>  Yes, and I'm sure he's not the only one.
> 
> Christer.Thrane at hil.no wrote:
> 
> > Hi,
> >
> > If the the second "choice" involves three outcomes (and not two) -
> that
> > is, if you have a multinomial regression model with sample
> selection (and
> > only indeps describing the choosers) - how do I estimate this?
> >
> > My own suggestion thus far is:
> >
> > 1. Estimate selection equation with probit or logit
> >
> > 2. Obtain Inverse Mills' Ratio, IMR, from 1.
> >
> > 3. Add IMR to the list of indpendent variables in the multinomial
> > regressinon using robust SE's
> >
> > Is this reasonable?
> >
> > BR
> >
> > Christer
> >
> > ***********************************************************
> > Professor Christer Thrane <christer.thrane at hil.no>
> > Lillehammer University College
> > Postboks 952
> > 2604 Lillehammer
> > Norway
> > +47 61 28 81 70 (fax)  | +47 61 28 82 47 (phone, work)
> > +47 92 29 54 39 (cell) | +47 61 25 53 04 (phone, private)
> > ***********************************************************
> >
> >
> >
> > William Greene <wgreene at stern.nyu.edu>
> > Sent by: limdep-bounces at limdep.itls.usyd.edu.au
> > 18.10.2007 02:17
> > Please respond to
> > Limdep and Nlogit Mailing List <limdep at limdep.itls.usyd.edu.au>
> >
> > To
> > Limdep and Nlogit Mailing List <limdep at limdep.itls.usyd.edu.au>
> > cc
> >
> > Subject
> > Re: [Limdep Nlogit List] A selection qeustion
> >
> > Dear Professor Tchetchik:  The "Bivariate Probit with Selection"
> model
> > that
> > you describe below has been available in LIMDEP for many years. 
> The
> > program
> > contains a full information maximum likelihood estimator.  You can
> find
> > discussion of the model in my textbook, Econometric Analysis, in
> the
> > chapter on discrete choice models.
> > Sincerely,
> > William Greene, developer.
> >
> > --
> > Professor William Greene
> > Department of Economics
> > Stern School of Business
> > New York University
> > 44 West 4th St., Rm. 7-78
> > New York, NY   10012
> > http://www.stern.nyu.edu/~wgreene
> > 212.998.0876
> >
> > ----- Original Message -----
> > From: "Dr. Anat Tchetchik" <manes at agri.huji.ac.il>
> > To: Limdep at limdep.itls.usyd.edu.au
> > Sent: Wednesday, October 17, 2007 9:52:04 AM (GMT-0500)
> America/Bogota
> > Subject: [Limdep Nlogit List] A selection qeustion
> >
> > Hi  All,
> >
> > We want to run a selection model which resemble the sample
> selection one
> > but
> > the second equation is not a regression one, rather it is also a
> probit (a
> > "yes/no" decision that depends on a realization of "yes" on the
> first
> > probit
> > equation). Any idea how to handle it? Does Limdep have a code for
> that?
> >
> > Thanks in advance for any help
> >
> > Anat Tchetchik, Ph.D.
> >
> > The Department of Agricultural Economics
> >
> > The Hebrew University of Jerusalem
> >
> > Tel: 08-9489231
> >
> > cell: 054-4928740
> >
> > _______________________________________________
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> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au
> >
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> > Limdep site list
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> >
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au
> 
> 
> 
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