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

[Abdulbaki Bilgic]

Dear Dr. Tchetchik,
Check this article as well: Poirier D. J. 1980. Partial observability
in bivariate probit models, journal of econometrics 12, 210-217.
Good luck
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 all covered in a perpetually-unpublished paper by me and two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
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> >
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> >
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> 
> 
> 
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