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A note on computing Murphy-Topel corrected variances in a heckprobit model with endogeneity in Stata

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Abstract

We outline a fairly simple method to obtain in Stata Murphy-Topel corrected variances for a twostep estimation of a heckprobit model with endogeneity in the main equation. The procedure utilizes the score option and the powerful matrix tool accum in Stata and builds on previous works by Hardin (2002) and Hole (2006).

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