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Maximum likelihood and two-step estimation of an ordered-probit selection model

Author

Listed:
  • Richard Chiburis

    (Princeton University)

  • Michael Lokshin

    (The World Bank)

Abstract

We discuss the estimation of a regression model with an ordered- probit selection rule. We have written a Stata command, oheckman, that computes two-step and full-information maximum-likelihood estimates of this model. Using Monte Carlo simulations, we compare the performances of these estimators under various conditions. Copyright 2007 by StataCorp LP.

Suggested Citation

  • Richard Chiburis & Michael Lokshin, 2007. "Maximum likelihood and two-step estimation of an ordered-probit selection model," Stata Journal, StataCorp LLC, vol. 7(2), pages 167-182, June.
    • Handle: RePEc:tsj:stataj:v:7:y:2007:i:2:p:167-182
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    References listed on IDEAS

    as
    1. James Heckman, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    2. Idson, Todd L & Feaster, Daniel J, 1990. "A Selectivity Model of Employer-Size Wage Differentials," Journal of Labor Economics, University of Chicago Press, vol. 8(1), pages 99-122, January.
    3. Sophia Rabe-Hesketh & Anders Skrondal & Andrew Pickles, 2002. "Reliable estimation of generalized linear mixed models using adaptive quadrature," Stata Journal, StataCorp LLC, vol. 2(1), pages 1-21, February.
    4. Marc F. Bellemare & Christopher B. Barrett, 2006. "An Ordered Tobit Model of Market Participation: Evidence from Kenya and Ethiopia," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(2), pages 324-337.
    5. John F. Ermisch & Robert E. Wright, 1993. "Wage Offers and Full-Time and Part-Time Employment by British Women," Journal of Human Resources, University of Wisconsin Press, vol. 28(1), pages 111-133.
    6. repec:bla:econom:v:60:y:1993:i:238:p:125-42 is not listed on IDEAS
    7. Fredrik Carlsson, 2004. "Prices and Departures in European Domestic Aviation Markets," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 24(1), pages 37-49, February.
    8. Alfonso Miranda & Sophia Rabe-Hesketh, 2006. "Maximum likelihood estimation of endogenous switching and sample selection models for binary, ordinal, and count variables," Stata Journal, StataCorp LLC, vol. 6(3), pages 285-308, September.
    9. Patrick Puhani, 2000. "The Heckman Correction for Sample Selection and Its Critique," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 53-68, February.
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