02-19-2016 05:59 PM
I am trying to estimate a GLM within a 2 step Heckman's correction method. I have looked at the reference materials. The SAS documentation shows (http://support.sas.com/documentation/cdl/en/etsug/67525/HTML/default/viewer.htm#etsug_qlim_examples0... that the selection model and the response models are estimated together. It also shows some other model types you can specifiy in this framework, but I dont believe GLM can be models same way, with the seletion probability model.
So, my question - is applying two step would be a right approach ? That is estimating the selection probability mdoel, and then calculating inverse mills ration and then using it to the GLM model specification.
Thanks for any help you could provide.