[Limdep Nlogit List] Maddala's Model-Simultaneous Equations

Thu Feb 23 03:34:04 EST 2006

There are two errors in your code.  The Gamma^2 should be enclosed in curled brackets,
not parentheses and the definition of z2vxi should be preceded by a semicolon, not a period.
/B. Greene

************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: Laurence Lester <Laurence.Lester at flinders.edu.au>
Date: Wednesday, February 22, 2006 7:16 am
Subject: [Limdep Nlogit List] Maddala's Model-Simultaneous Equations

> 
> I am trying to set up the code to run  Maddala's Model 
> (Simultaneous Equations
> with y1 observed and y2 binary). I have taken it from E17.6.2 (and 
> used data
> from Limdep (with an added binary constructed) to test the code.
> 
> It partly runs, but gives me two mesages. If anyone has the time 
> to run the
> attached limdep file they will see the errors. The first appears 
> to be about an
> IF statement but there isn't one in the code. The second relates 
> to the final
> matrix but I just can't see what the problem is.
> 
> If anyone can help I'd appreciate it. The data and code are 
> included below if
> that helps.
> 
> Regards
> Laurence
> NILS, Flinders University, Adelaide, SA
> 
> 
> 
> read ; nobs = 25 ; nvar = 9 ; names =
> COST,      SK,      SL,     SE,    SM,     PK,    PL,      PE,    
> PM $    
> 182.373 0.05107 0.24727 0.04253 0.65913 1.00000 1.00000 1.00000 
> 1.00000 183.161 0.05817 0.27716 0.05127 0.61340 1.00270 1.15457 
> 1.30258 1.05525
> 186.533 0.04602 0.25911 0.05075 0.64411 0.74371 1.15584 1.19663 
> 1.06625 221.710 0.04991 0.24794 0.04606 0.65609 0.92497 1.23535 
> 1.12442 1.12430
> 255.945 0.05039 0.25487 0.04482 0.64992 1.04877 1.33784 1.25179 
> 1.21694
> 264.699 0.04916 0.26655 0.04460 0.63969 0.99744 1.37949 1.27919 
> 1.19961 291.160 0.04728 0.26832 0.04369 0.64071 1.00653 1.43458 
> 1.27505 1.19044
> 274.457 0.05635 0.27167 0.04787 0.62411 1.08757 1.45362 1.30356 
> 1.20612 308.908 0.05258 0.26465 0.04517 0.63760 1.10315 1.51120 
> 1.34277 1.23835
> 328.286 0.04604 0.26880 0.04576 0.63940 0.99606 1.58186 1.37154 
> 1.29336 338.633 0.05033 0.27184 0.04820 0.62962 1.06321 1.64641 
> 1.38010 1.30703
> 323.318 0.06015 0.27283 0.04836 0.61886 1.15619 1.67389 1.39338 
> 1.32699
> 358.435 0.06185 0.27303 0.04563 0.61948 1.30758 1.73430 1.36756 
> 1.30774 366.251 0.05788 0.27738 0.04585 0.61889 1.25413 1.78280 
> 1.38025 1.33946
> 366.162 0.05903 0.27839 0.04640 0.61617 1.26328 1.81977 1.37630 
> 1.34319 390.668 0.05578 0.28280 0.04530 0.61613 1.26525 1.88531 
> 1.37689 1.34745
> 412.188 0.05601 0.27968 0.04470 0.61962 1.32294 1.93379 1.34737 
> 1.33143 433.768 0.05452 0.28343 0.04392 0.61814 1.32798 2.00998 
> 1.38969 1.35197
> 474.969 0.05467 0.27996 0.04114 0.62423 1.40659 2.05539 1.38635 
> 1.37542
> 521.291 0.05460 0.28363 0.04014 0.62163 1.45100 2.13441 1.40102 
> 1.41878 540.941 0.05443 0.28646 0.04074 0.61837 1.38617 2.20616 
> 1.39197 1.42428
> 585.447 0.05758 0.28883 0.03971 0.61388 1.49901 2.33869 1.43388 
> 1.43481 630.450 0.05410 0.29031 0.03963 0.61597 1.44957 2.46412 
> 1.46481 1.53356
> 623.466 0.05255 0.29755 0.04348 0.60642 1.32464 2.60532 1.45907 
> 1.54758 658.235 0.04675 0.28905 0.04479 0.61940 1.20177 2.76025 
> 1.64689 1.54978 $
> 
> CREATE ; IF (pl> 1.5) GAMBLE =1; (Else) GAMBLE =0  $ ? Make a 
> Zero/one var  
> 
> 
> 
> 
> 
> sample; all $
> /* Simultanious Equation Models E17-28 Model3 -using limdep data 
> adapted*/NAMELIST; x1=PE, SK, SL $                 	? Explantory 
> for Binary
> NAMELIST; x2=PK,PL, SM $                	? Explantory for 
> continuous        	
> CREATE; y1=COST $                         	? Continious dependent
> CREATE; y2=GAMBLE$                        	? Binary choice
> 
> PROCECURE = Model3(y1,y2,x1,x2) $
> NAMELIST	; xm3 = OR(x1,x2) $
> REGRESS	; Lhs=y1; Rhs = xm3; Keep=p1x $
> CALC        	; t1sq=ssqrd 	$
> PROBIT	; Lhs=y2; Rhs=xm3 $
> CREATE	; p2x = xm3'b 	$
> NAMELIST	; z1 = p2x,x1 	$
> NAMELIST	; z2 = p1x,x2 	$
> MATRIX	; v0i =<Varb> 	$
> REGRESS	; Lhs=y1; Rhs=z1 	$
> Matrix	; alpha1=b         	$	
> CALC        	; gamma1=b(1)
>        	; sigmasq1=ssqrd
>        	; sigma1=s         	$
> PROBIT	; Lhs=y2; Rhs=z2 	$
> Matrix	; alpha2=b         	$
> CALC	; gamma2=b(1) 
> 	; rho12=(2*gamma1*Sqr(sigmasq1))*((1-gamma1*gamma2)^2*t1sq - 
> gamma1^2 -
> sigmasq1)
> 	; c=sigmasq1-2*gamma1*rho12*sigma1
> 	; d=gamma2^2 * sigmasq1-2*gamma2*rho12*sigma1	$
> Matrix; z1z1i=<z1'z1>
> 	; va1=c*z1z1i + (gamma1^2) * z1z1i * z1'xm3 * <v0i> * xm3'z1 * z1z1i
> 	; v0i=<v0i>
> 	. z2xvi=z2'xm3 * v0i* xm3'z2
> 	; z2xvi=<z2xvi>
> 	; va2=z2xvi+d*z2xvi*z2'xm3*v0i*<xm3'xm3>*v0i*xm3'z2*z2xvi
> 	; Stat(alpha1, va1)
> 	; Stat(alpha2, va2) $
> ENDPROCEDURE
> 
> EXECUTE; proc=Model3(y1,y2,x1,x2) $
> 
> 
> 
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