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
Thank you Ksharp. I will post my question at Forecasting Forum.
Best,
Gokul
Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.
If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website.
Learn how use the CAT functions in SAS to join values from multiple variables into a single value.
Find more tutorials on the SAS Users YouTube channel.