?===================================================================

? Sample selection model with DISCRETE CHOICE selection.           =

? Requires modification at all points marked by *'s below.         =

? Assumes 3 attributes in choice model.  Changes needed if more.   =

?===================================================================

     SAMPLE    ; All $

(*)  CREATE    ; Choice = Trn(-4,0) $

(*)  NAMELIST  ; V = z1,z2,z3 $ 

(*)  DISCRETE  ; Lhs = z  ; Rhs = V ; RES = P $   (Saves probabilities)

     MATRIX    ; alpha = b ; SG  =  varb $ 

(*)  REJECT    ; new ; choice #  2  $ 

?

? To create the within observation deviation for the j'th choice, we treat the

? 4 rows of data as if they were separate observations. Using the lag and lead 

? operators, we can access the attributes within each observation relative to

? a particular choice within the observation.  If, for example, we were select-

? ing on choice 3 instead of 2, the four rows would be accessed by rejecting

? choice not equal to 3, then the lags in the command would be [-2], [-1], none,

? and [+1], respectively.

?

     CREATE    ; H = inp(P)    

               ; lambda = n01(H) / phi(H)

               ; delta  = lambda * (H + lambda)

(*)            ; g1 = delta * (z1 - 

(*)                (p[-1]*z1[-1] + p*z1 + p[+1]*z1[+1] + p[+2]*z1[+2]) )

(*)            ; g2 = delta * (z2 - 

(*)                (p[-1]*z2[-1] + p*z2 + p[+1]*z2[+1] + p[+2]*z2[+2]) )

(*)            ; g3 = delta * (z3 - 

(*)                (p[-1]*z3[-1] + p*z3 + p[+1]*z3[+1] + p[+2]*z3[+2]) )

               ; t = 1 - rhojsq * delta $

(*)  NAMELIST  ; W = lambda, <your RHS variables in regression> $

(*)  REGRESS   ; lhs = y ; rhs = W $  User must define NAMELIST W.

     CALC      ; thetajsq   =  b(1) ^ 2

               ; sigmajsq   = sumsqdev / n  + thetajsq * xbr(delta)

               ; rhojsq     =  thetajsq / sigmajsq $

     SAMPLE    ; All $

(*)  NAMELIST  ; G = g1,g2,g3 $

     MATRIX    ; FP  = xdot(W,G,delta) 

               ; PSI = sigmajsq * xdot(W,W,t) & thetajsq * FP | SG | FP'

               ; C   = xpxi(W) | PSI | xpxi(W)

               ; stat(B,C) $