Computing Murphy–Topel-corrected variances in a heckprobit model with endogeneity
Juan Muro
Department of Statistics, Economic Structure,
and International Economic Organization
Universidad de Alcalá
Madrid, Spain
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Cristina Suárez
Department of Statistics, Economic Structure,
and International Economic Organization
Universidad de Alcalá
Madrid, Spain
|
María del Mar Zamora
Department of Statistics, Economic Structure,
and International Economic Organization
Universidad de Alcalá
Madrid, Spain
[email protected]
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Abstract. We outline a fairly simple method to obtain in Stata Murphy–Topel-corrected
variances for a two-step estimation of a heckprobit model with endogeneity
in the main equation. The procedure uses predict’s score option and
the powerful matrix tool accum in Stata and builds on previous works by Hardin
(2002, Stata Journal 2: 253–266) and Hole (2006, Stata Journal 6: 521–529).
View all articles by these authors:
Juan Muro, Cristina Suárez, María del Mar Zamora
View all articles with these keywords:
binary choice model, heckprobit, selectivity, endogenous variables, two-step estimation, qualitative models, Murphy–Topel-corrected variances
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