Estimation of ordered response models with sample selection
AbstractWe 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.
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Volume (Year): 11 (2011)
Issue (Month): 2 (June)
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Other versions of this item:
- Giuseppe De Luca & Valeria Perotti, 2010. "Estimation of ordered response models with sample selection," CEIS Research Paper 168, Tor Vergata University, CEIS, revised 03 Jun 2010.
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