[Limdep Nlogit List] Pseudo R-squared
Marc Goergen
m.goergen at shef.ac.uk
Thu Jun 15 23:55:51 EST 2006
Dear all,
I am trying to estimate the McKelvey and Zavoina pseudo R-squared for an ordered probit model.
I am following the procedure as stated in the online help file. However, when I do the calculations, Limdep overwrites the first 12 rows of my data file. Does anybody know what is going on?
This is the procedure I am using:
?===================================================================
? Compute a Pseudo Rsquared for a probit model based on the
? McKelvey and Zavoina's formula in their paper on the ordered
? probit model. The formula suggested is
?
? E[y*|y] = yf = beta'x + lambda
?
? Rý = N * [ var(yf) / (1 + var(yf) ]
?
? where lambda is the inverse Mill's ratio usually kept for SELECT.
? (To get the MZ result exactly, we'd use 1/N not 1/(N-1) in var(yf).)
? User must define the data matrix with the following line:
?
? NAMELIST ; X = ... $
?
? User's dependent variable is Y. Change the following line
?
? CREATE ; Y = the dependent variable $
?
?===================================================================
PROBIT ; lhs = y ; rhs = X ; hold(imr=lambda) $
CREATE ; yf = x'b + lambda $
CALC ; list ; zm = (n-1)*var(yf) / (n + (n-1)*var(yf)) $
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