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A note on computing Murphy-Topel corrected variances in a heckprobit model with endogeneity in Stata

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Author Info
Juan Muro ()
Cristina Suárez ()
María del Mar Zamora () (Departamento de Estadística, Estructura y O.E.I. Universidad de Alcalá.)

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Abstract

We outline a fairly simple method to obtain in Stata Murphy-Topel corrected variances for a twostep estimation of a heckprobit model with endogeneity in the main equation. The procedure utilizes the score option and the powerful matrix tool accum in Stata and builds on previous works by Hardin (2002) and Hole (2006).

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File URL: http://dspace.uah.es/jspui/bitstream/10017/2071/3/Alcamentos0804.pdf
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Publisher Info
Paper provided by Universidad de Alcalá, Departamento de Estadística, Estructura y O.E.I. in its series Alcamentos with number 0804.

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Length: pages 15
Date of creation: 2008
Date of revision: Jul 2009
Handle: RePEc:alc:alcamo:0804

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Postal: Alcalá de Henares 28803
Phone: +0034-91-8854201
Fax: +0034-91-8854201
Web page: http://www2.uah.es/alcametrica
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Related research
Keywords: Binary choice model with selectivity and endogenous variables; Two-step estimation in qualitative models; Murphy-Topel corrected variances; Stata program.;

Find related papers by JEL classification:
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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This page was last updated on 2009-12-2.

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