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

Juan Muro (), Cristina Suarez and María del Mar Zamora ()
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María del Mar Zamora: Departamento de Economía, Universidad de Alcalá.

No 804, Alcamentos from Universidad de Alcalá, Departamento de Economía.

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).

Keywords: Binary choice model with selectivity and endogenous variables; two-step estimation in qualitative models; Murphy-Topel corrected variances; Stata program (search for similar items in EconPapers)
JEL-codes: C25 C63 (search for similar items in EconPapers)
Pages: pages 15
Date: 2008, Revised 2009-07
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