[Limdep Nlogit List] generalized residual of RE probit

Satu Nivalainen snivalai at uci.edu
Fri Mar 24 04:55:32 EST 2006


Dear All,

Is there any easy way to calculate the generalized residual of the random
effect probit model in Limdep?

That is, assumig we have a RE probit model:
U(it)= gamma'w(it) + theta(i) + eps(it)

How can I obtain the generalized residual:
gres = (2U(it)-1)*sigmaeps*normpdf[((gamma'w(it)+
theta(i))/sigmaeps)(2U(it)-1)]/normcdf[((gamma'w(it)+
theta(i))/sigmaeps)(2U(it)-1)]?

To be more specific, I haven't been able to figure out how to get the
values of theta(i). Sorry if this is a stupid question, but for some
reason my brains do not work at this point.

(I need the gen.resid. as an intermediate step in calculating the
endogeneity correction terms a la Vella and Verbeek, 1998, Whose wages
unions raise? J. Appl. Econ. So if anyone has any experience in applying
this method using Limdep, hints would be more than welcome)

Thanks,
Satu









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