Inverse mills ratio when the dependent variable is not binary

GokulK — Wed, 21 Jun 2023 00:21:33 GMT

Hello Everyone,

I need your help with the SAS codes. I need to use a Heckman selection model to correct for endogeneity. In the first stage of my Heckman model, the dependent variable is CEO expertise. Since there are three categories of CEO expertise in my context, the dependent variable (CEO_Expert) takes value either 0,1, or 2 (0 if the CEO is an accounting expert; 1 if a finance expert; and 2 if a sales expert). I don’t know how to obtain inverse mills ratio when the dependent variable is ternary. In the past instances when my dependent variable was a 1/0 dummy, I used proc qlim to obtain inverse mills ratio.

PROC QLIM data = First_Stage;

model Y1 = X1 X2 / DISCRETE;

OUTPUT out=Have mills;

RUN;

I have seen only examples of using inverse Mills ratio involving binary probit selection equation. I would really appreciate it if someone shared the code to obtain inverse mills ratio when the dependent variable is not binary.

Thanks,

Gokul

Re: Inverse mills ratio when the dependent variable is not binary

Ksharp — Wed, 21 Jun 2023 05:13:00 GMT

PROC QLIM is under SAS/ETS ,better post it at Forecasting Forum.

https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics

Re: Inverse mills ratio when the dependent variable is not binary

GokulK — Wed, 21 Jun 2023 16:11:28 GMT

Thank you Ksharp. I will post my question at Forecasting Forum.

Best,

Gokul

topic Re: Inverse mills ratio when the dependent variable is not binary in SAS Programming

Inverse mills ratio when the dependent variable is not binary

Re: Inverse mills ratio when the dependent variable is not binary

Re: Inverse mills ratio when the dependent variable is not binary