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

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  • 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 LP, 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

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