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;
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.
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