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Maximum Likelihood Estimation of Endogenous Switching And Sample Selection Models for Binary, Count, And Ordinal Variables

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Author Info

  • Alfonso Miranda

    ()
    (Department of Economics, Keele,)

  • Sophia Rabe-Hesketh

    (Graduate Schoolof Education,)

Abstract

Studying 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)

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Bibliographic Info

Paper provided by Centre for Economic Research, Keele University in its series Keele Economics Research Papers with number KERP 2005/14.

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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
Handle: RePEc:kee:kerpuk:2005/14

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Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
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Web page: http://www.keele.ac.uk/depts/ec/cer/
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Postal: Centre for Economic Research, Research Institute for Public Policy and Management, Keele University, Staffordshire ST5 5BG - United Kingdom
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Web: http://www.keele.ac.uk/depts/ec/cer/pubs_kerps.htm

Related research

Keywords: Endogenous switching; sample selection; binary variable; count data; ordinal variable; probit; poisson regression; adaptive quadrature; gllamm; wrapper; ssm.;

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Cited by:
  1. Cornelissen, Thomas & Heywood, John S. & Jirjahn, Uwe, 2011. "Performance pay, risk attitudes and job satisfaction," Labour Economics, Elsevier, vol. 18(2), pages 229-239, April.
  2. David Roodman, 2009. "Estimating Fully Observed Recursive Mixed-Process Models with cmp," Working Papers 168, Center for Global Development.
  3. 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.
  4. 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.
  5. Ufuk Akcigit, 2009. "Firm Size, Innovation Dynamics and Growth," 2009 Meeting Papers 1267, Society for Economic Dynamics.
  6. David Roodman, 2011. "Fitting fully observed recursive mixed-process models with cmp," Stata Journal, StataCorp LP, vol. 11(2), pages 159-206, June.
  7. 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.
  8. 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.
  9. repec:ebl:ecbull:v:3:y:2008:i:42:p:1-13 is not listed on IDEAS
  10. repec:eid:wpaper:11/10 is not listed on IDEAS
  11. 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.
  12. repec:eid:wpaper:21047 is not listed on IDEAS
  13. 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.

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