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

Author

Listed:
  • Juan Muro
  • Cristina Suárez
  • María del Mar Zamora

    (Departamento de Economía, Universidad de Alcalá.)

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).

Suggested Citation

  • Juan Muro & Cristina Suárez & María del Mar Zamora, 2008. "A note on computing Murphy-Topel corrected variances in a heckprobit model with endogeneity in Stata," Alcamentos 0804, Universidad de Alcalá, Departamento de Economía., revised Jul 2009.
    • Handle: RePEc:alc:alcamo:0804
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    More about this item

    Keywords

    Binary choice model with selectivity and endogenous variables; two-step estimation in qualitative models; Murphy-Topel corrected variances; Stata program;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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