Advanced Search
MyIDEAS: Login to save this article or follow this journal

Estimation of ordered response models with sample selection

Contents:

Author Info

  • Giuseppe De Luca

    ()
    (Istituto per lo Sviluppo della Formazione Professionale dei Lavoratori)

  • Valeria Perotti

    (The World Bank)

Abstract

We introduce two new Stata commands for the estimation of an or- dered response model with sample selection. The opsel command uses a standard maximum-likelihood approach to fit a parametric specification of the model where errors are assumed to follow a bivariate Gaussian distribution. The snpopsel command uses the semi-nonparametric approach of Gallant and Nychka (1987, Econometrica 55: 363–390) to fit a semiparametric specification of the model where the bivariate density function of the errors is approximated by a Hermite polynomial expansion. The snpopsel command extends the set of Stata routines for semi-nonparametric estimation of discrete response models. Compared to the other semi-nonparametric estimators, our routine is relatively faster because it is programmed in Mata. In addition, we provide new postestimation routines to compute linear predictions, predicted probabilities, and marginal effects. These improvements are also extended to the set of semi-nonparametric Stata commands originally written by Stewart (2004, Stata Journal 4: 27–39) and De Luca (2008, Stata Journal 8: 190–220). An illustration of the new opsel and snpopsel com- mands is provided through an empirical application on self-reported health with selectivity due to sample attrition. Copyright 2011 by StataCorp LP.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.stata-journal.com/article.html?article=st0226
File Function: link to article purchase
Download Restriction: no

Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 11 (2011)
Issue (Month): 2 (June)
Pages: 213-239

as in new window
Handle: RePEc:tsj:stataj:v:11:y:2011:i:2:p:213-239

Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj11-2/st0226/
Contact details of provider:
Web page: http://www.stata-journal.com/

Order Information:
Web: http://www.stata-journal.com/subscription.html

Related research

Keywords: opsel; opsel postestimation; sneop; sneop postestimation; snp2; snp2 postestimation; snp2s; snp2s postestimation; snpopsel; snpopsel postestima- tion; snp; snp postestimation; ordered response models; sample selection; para- metric maximum-likelihood estimation; semi-nonparametric estimation;

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Chen, Songnian & Khan, Shakeeb, 2003. "Semiparametric Estimation Of A Heteroskedastic Sample Selection Model," Econometric Theory, Cambridge University Press, vol. 19(06), pages 1040-1064, December.
  2. Mark B. Stewart, 2004. "Semi-nonparametric estimation of extended ordered probit models," Stata Journal, StataCorp LP, vol. 4(1), pages 27-39, March.
  3. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
  4. Coppejans, Mark, 2007. "On efficient estimation of the ordered response model," Journal of Econometrics, Elsevier, vol. 137(2), pages 577-614, April.
  5. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
  6. John Fitzgerald & Peter Gottschalk & Robert Moffitt, 1997. "An Analysis of Sample Attrition in Panel Data: The Michigan Panel Study of Income Dynamics," Boston College Working Papers in Economics 394, Boston College Department of Economics.
  7. Giuseppe De Luca, 2008. "SNP and SML estimation of univariate and bivariate binary-choice models," Stata Journal, StataCorp LP, vol. 8(2), pages 190-220, June.
  8. Coppejans, Mark & Gallant, A. Ronald, 2002. "Cross-validated SNP density estimates," Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September.
  9. Cheti Nicoletti & Franco Peracchi, 2005. "Survey response and survey characteristics: microlevel evidence from the European Community Household Panel," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(4), pages 763-781.
  10. Giuseppe De Luca & Franco Peracchi, 2012. "Estimating Engel curves under unit and item nonresponse," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(7), pages 1076-1099, November.
  11. Alfonso Miranda & Sophia Rabe-Hesketh, 2006. "Maximum likelihood estimation of endogenous switching and sample selection models for binary, ordinal, and count variables," Stata Journal, StataCorp LP, vol. 6(3), pages 285-308, September.
  12. Agar Brugiavini & Tullio Jappelli & Guglielmo Weber, 2002. "The Survey on Health, Aging and Wealth," CSEF Working Papers 86, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  13. Paul Contoyannis & Andrew M. Jones & Nigel Rice, 2004. "The dynamics of health in the British Household Panel Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(4), pages 473-503.
  14. Meng, Chun-Lo & Schmidt, Peter, 1985. "On the Cost of Partial Observability in the Bivariate Probit Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(1), pages 71-85, February.
  15. Lee, Lung-fei, 1995. "Semiparametric maximum likelihood estimation of polychotomous and sequential choice models," Journal of Econometrics, Elsevier, vol. 65(2), pages 381-428, February.
  16. Roger W. Klein & Robert P. Sherman, 2002. "Shift Restrictions and Semiparametric Estimation in Ordered Response Models," Econometrica, Econometric Society, vol. 70(2), pages 663-691, March.
  17. Stewart, Mark B., 2005. "A comparison of semiparametric estimators for the ordered response model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 555-573, April.
  18. Keane, Michael P, 1992. "A Note on Identification in the Multinomial Probit Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 193-200, April.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. David ARISTEI & Manuela Gallo, 2012. "The Drivers of Household Over-Indebtedness and Delinquency on Mortgage Loans: Evidence from Italian Microdata," Quaderni del Dipartimento di Economia, Finanza e Statistica 105/2012, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  2. Bastien Bernela & Rachel Levy, 2014. "Collaboration networks in a French cluster: do partners really interact with each other?," Working Papers hal-00995175, HAL.
  3. Omar Paccagnella, 2011. "Anchoring vignettes with sample selection due to non‐response," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(3), pages 665-687, 07.
  4. Sdiri, Hanen & Ayadi, Mohamed, 2012. "Innovation et externalisation des services: une analyse empirique sur données d'entreprises tunisiennes
    [Innovation and outsourcing of services: a firm-level analysis]
    ," MPRA Paper 39359, University Library of Munich, Germany.
  5. Edwin S. Wong, 2013. "Gender preference and transfers from parents to children: an inter-regional comparison," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(1), pages 61-80, January.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:11:y:2011:i:2:p:213-239. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Lisa Gilmore).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.