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The Stata Journal
Volume 7 Number 2: pp. 167-182

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Maximum likelihood and two-step estimation of an ordered-probit selection model

Richard Chiburis
Princeton University
Princeton, NJ
chiburis@princeton.edu
 Michael Lokshin
The World Bank
Washington, DC
mlokshin@worldbank.org
Abstract.   We discuss the estimation of a regression model with an ordered-probit selection rule. We have written a Stata command, oheckman, that computes two-step and full-information maximum-likelihood estimates of this model. Using Monte Carlo simulations, we compare the performances of these estimators under various conditions.
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