[Limdep Nlogit List] A selection qeustion--a quick follow-up
William Greene
wgreene at stern.nyu.edu
Thu Oct 18 20:40:27 EST 2007
Christer. There is a paper by Joe Terza in the Journal of Applied
Econometrics, 2004, I believe, that specifically discusses this
application. Your suggestion does not work - the IMR approach is
only appropriate for linear models.
/Bill Greene
----- Original Message -----
From: "Christer Thrane" <Christer.Thrane at hil.no>
To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
Sent: Thursday, October 18, 2007 1:24:04 AM (GMT-0500) America/Bogota
Subject: [Limdep Nlogit List] A selection qeustion--a quick follow-up
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
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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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--
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
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