How does SAS calculate 'xbeta' output in proc logistic?

egarcia — Tue, 29 Apr 2014 13:40:20 GMT

How does SAS calculate 'xbeta' output in proc logistic? I am using censored data and the Heckman Two-Step method to run a regression analysis, so here's the dilemma:

Heckman Two-Step Method:

1. Regress binary censored variable (eq 1 if censored, 0 otherwise) on RHS variables.

proc logistic data=all_data;

model censored = RHS_variables / link=probit;

output out=probit xbeta=xbeta stdxbeta=stdxbeta;

run;

2. Regress dependent variables of interest on RHS variables and Inverse Mills Ratio of (-Xi(beta/sigma))

data probit;

set probit;

imr=pdf('NORMAL', xbeta)/cdf('NORMAL',xbeta);

label imr='Inverse Mills Ratio';

run;

proc reg data=probit;

model dep_var=RHS_variables imr / acov;

where censored=1;

output out=heckman;

run; quit;

Essentially, is xbeta (calculated by SAS) equal to (-Xi(beta/sigma))? If so, then the above code is accurate. If not, then how do I calculate (-Xi(beta/sigma))?

Thank you for your help,

Re: How does SAS calculate 'xbeta' output in proc logistic?

SteveDenham — Wed, 30 Apr 2014 16:48:36 GMT

In PROC LOGISTIC, xbeta contains the estimates of the linear predictor. It is not scaled by sigma, I beleve you will have to divide through by the pooled error estimate to get what you need.

Steve Denham

topic How does SAS calculate 'xbeta' output in proc logistic? in SAS Procedures

How does SAS calculate 'xbeta' output in proc logistic?

Re: How does SAS calculate 'xbeta' output in proc logistic?