Maximum Likelihood Estimation of Endogenous Switching And Sample Selection Models for Binary, Count, And Ordinal Variables
AbstractStudying behaviour in economics, sociology, and statistics often involves fitting models in which the response variable depends on a dummy variable (also known as a regime switch variable) or in which the response variable is observed only if a particular selection condition is met. In either case, standard regression techniques deliver inconsistent estimators if unobserved factors that affect the response are correlated with unobserved factors that affect the switching or selection variable. Consistent estimators can be obtained by maximum likelihood estimation of a joint model of the outcome and switching or selection variable. This paper describes a ‘wrapper’ program, ssm, that calls gllamm (Rabe-Hesketh et al. 2004a) to fit such models. The wrapper accepts data in a simple structure, has a straightforward syntax, and reports output in a manner that is easily interpretable. One important feature of ssm is that the log-likelihood can be evaluated using adaptive quadrature (Rabe- Hesketh and Skrondal 2002; Rabe-Hesketh et al. 2005)
Download InfoIf 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.
Bibliographic InfoPaper provided by Centre for Economic Research, Keele University in its series Keele Economics Research Papers with number KERP 2005/14.
Length: 34 pages
Date of creation: Dec 2005
Date of revision:
Publication status: Published in the STATA Journal, 6(3), 2006, pages 285-308. http://www.stata-journal.com/abstracts/st0107.pdf
Contact details of provider:
Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
Phone: +44 (0)1782 584581
Fax: +44 (0)1782 717577
Web page: http://www.keele.ac.uk/depts/ec/cer/
More information through EDIRC
Postal: Centre for Economic Research, Research Institute for Public Policy and Management, Keele University, Staffordshire ST5 5BG - United Kingdom
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- I12 - Health, Education, and Welfare - - Health - - - Health Production
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-27 (All new papers)
- NEP-DCM-2006-05-27 (Discrete Choice Models)
- NEP-ECM-2006-05-27 (Econometrics)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Cornelissen, Thomas & Heywood, John S. & Jirjahn, Uwe, 2011.
"Performance pay, risk attitudes and job satisfaction,"
Elsevier, vol. 18(2), pages 229-239, April.
- Thomas Cornelißen & John S. Heywood & Uwe Jirjahn, 2008. "Performance Pay, Risk Attitudes and Job Satisfaction," SOEPpapers on Multidisciplinary Panel Data Research 136, DIW Berlin, The German Socio-Economic Panel (SOEP).
- David Roodman, 2009. "Estimating Fully Observed Recursive Mixed-Process Models with cmp," Working Papers 168, Center for Global Development.
- Cesar Alonso-Borrego & Antonio Romero-Medina, 2010.
"Wage expectations for higher education students in Spain,"
Economics Working Papers
we1016, Universidad Carlos III, Departamento de Economía.
- Ehsan Khoman & James Mitchell & Martin Weale, 2008. "Incidence-based estimates of life expectancy of the healthy for the UK: coherence between transition probabilities and aggregate life-tables," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 171(1), pages 203-222.
- Ufuk Akcigit, 2009. "Firm Size, Innovation Dynamics and Growth," 2009 Meeting Papers 1267, Society for Economic Dynamics.
- David Roodman, 2011. "Fitting fully observed recursive mixed-process models with cmp," Stata Journal, StataCorp LP, vol. 11(2), pages 159-206, June.
- 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.
- Broström, Anders, 2009.
"Working with Distant Researchers - distance and content in university-industry interaction,"
Working Paper Series in Economics and Institutions of Innovation
173, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Broström, Anders, 2010. "Working with distant researchers--Distance and content in university-industry interaction," Research Policy, Elsevier, vol. 39(10), pages 1311-1320, December.
- repec:ebl:ecbull:v:3:y:2008:i:42:p:1-13 is not listed on IDEAS
- repec:eid:wpaper:11/10 is not listed on IDEAS
- Sakurai, Takeshi, 2013. "Intensification of Lowland Cropping Systems and Informal Land Ownership in West Africa: Comparison of Two Large Inland Markets in Côte d’Ivoire and Ghana," Discussion Paper Series 586, Institute of Economic Research, Hitotsubashi University.
- repec:eid:wpaper:21047 is not listed on IDEAS
- Chawanote, Chayanee, 2012. "Rural Household Non-farm Businesses: Startup, Expansion, Contraction, or Exit?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124841, Agricultural and Applied Economics Association.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martin E. Diedrich) The email address of this maintainer does not seem to be valid anymore. Please ask Martin E. Diedrich to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.