Computing Murphy–Topel-corrected variances in a heckprobit model with endogeneity

Muro, Juan; Suárez, Cristina; del Mar Zamora, María

doi:st0191

Computing Murphy–Topel-corrected variances in a heckprobit model with endogeneity

Muro, Juan ; Suárez, Cristina ; del Mar Zamora, María

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).

Keywords:

binary choice model ; heckprobit ; selectivity ; endogenous variables ; two-step estimation ; qualitative models ; Murphy–Topel-corrected variances

Subject(s):

Research Methods/ Statistical Methods

Issue Date:

2010

Publication Type:

Journal Article

DOI and Other Identifiers:

10.22004/ag.econ.152310
st0191 (Other)

Record Identifier:

https://ageconsearch.umn.edu/record/152310