[Limdep Nlogit List] problems with cluster adjustment to variancesin ordered probit
Durham, Cathy
cathy.durham at oregonstate.edu
Tue Feb 5 04:13:11 EST 2008
I am not familiar with the cluster option, but did you check to see if
any of the 'fixed' results variables were constant within a cluster?
If they are I would suspect that is the problem.
-----Original Message-----
From: limdep-bounces at limdep.itls.usyd.edu.au
[mailto:limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of Peter Glick
Sent: Thursday, January 31, 2008 2:45 PM
To: limdep at limdep.itls.usyd.edu.au
Subject: [Limdep Nlogit List] problems with cluster adjustment to
variancesin ordered probit
Hello,
I am using the 'cluster' option in Nlogit4 with an ordered probit model
of
years of schooling. The clusters are schools. The adjusted standard
errors make sense as long as I don't also allow for censoring arising
from
some in the sample still being in school. Allowing for censoring
without
the adjustment is fine, but when 'Cluster' is used the program seems
unable
to compute the variances (see model output below: many coefficient
standard
errors are missing and labeled 'fixed parameters').
Is there a logical reason for this (and any solution)? My thinking was
that the censoring would somehow be affecting the number of
within-cluster
observations used to correct the standard errors, but I can't see why
this
would be the case. (there are 14 individuals on average per cluster,
and
censoring is high, over 60% of the sample).
Thanks for any insight.
Peter Glick
Below, the model output without using the cluster option follows the
model
with the option.
Normal exit from iterations. Exit status=0.
+---------------------------------------------+
| Ordered Probability Model |
| Maximum Likelihood Estimates |
| Model estimated: Jan 31, 2008 at 03:37:01PM.|
| Dependent variable GRADATT1 |
| Weighting variable None |
| Number of observations 834 |
| Iterations completed 49 |
| Log likelihood function -879.4733 |
| Number of parameters 38 |
| Info. Criterion: AIC = 2.20018 |
| Finite Sample: AIC = 2.20465 |
| Info. Criterion: BIC = 2.41552 |
| Info. Criterion:HQIC = 2.28274 |
| Restricted log likelihood -1547.237 |
| McFadden Pseudo R-squared .4315847 |
| Chi squared 1335.528 |
| Degrees of freedom 30 |
| Prob[ChiSqd > value] = .0000000 |
| Underlying probabilities based on Normal |
+---------------------------------------------+
+---------------------------------------------+
| Ordered Probability Model |
| Cell frequencies for outcomes |
| Y Count Freq Y Count Freq Y Count Freq |
| 0 1 .002 1 18 .021 2 46 .055 |
| 3 74 .088 4 134 .160 5 263 .315 |
| 6 108 .129 7 144 .172 8 45 .053 |
| Censoring indicator is DROPOUT |
| Total observations = 834.0 |
| Uncensored = 306.0, censored = 528.0 |
+---------------------------------------------+
+---------------------------------------------------------------------+
| Covariance matrix for the model is adjusted for data clustering. |
| Sample of 834 observations contained 60 clusters defined by |
| variable NUMECOLE which identifies by a value a cluster ID. |
| Sample of 834 observations contained 1 strata defined by |
| 834 observations (fixed number) in each stratum. |
+---------------------------------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Index function for probability
Constant| 8.13441449 .97235688 8.366 .0000
AGE1 | -.31250626 .13458868 -2.322 .0202 15.6175060
GIRL1 | -.26554081 ......(Fixed Parameter).......
RICH | .33973482 .01153289 29.458 .0000 -.02167237
MISEDM | -.21837324 .10648913 -2.051 .0403 .10071942
MOMED | -.00288493 .00580012 -.497 .6189 1.52673674
DADED | .02934360 ......(Fixed Parameter).......
MISEDFHH| -.26316948 .10422245 -2.525 .0116 .16546763
REGION1 | -.63593108 ......(Fixed Parameter).......
REGION2 | -.18266061 .12762061 -1.431 .1524 .05755396
REGION3 | .05705597 .44192474 .129 .8973 .05875300
REGION4 | -.15384265 .35685256 -.431 .6664 .11510791
REGION5 | -.10319191 .32027725 -.322 .7473 .11630695
REGION6 | -.15925307 .34317630 -.464 .6426 .04916067
REGION8 | .02918756 ......(Fixed Parameter).......
ETHN2 | .00497250 ......(Fixed Parameter).......
ETHN3 | .39856760 .14538589 2.741 .0061 .21223022
ETHN4 | .72539671 ......(Fixed Parameter).......
ETHN5 | .29420208 ......(Fixed Parameter).......
ETHN6 | -.05300107 .18236991 -.291 .7713 .04436451
RURALF | -.27918343 ......(Fixed Parameter).......
YRSDR95 | .00880528 ......(Fixed Parameter).......
EDDRBAC1| -.03796261 ......(Fixed Parameter).......
MISDIR95| 1.14741544 .62372666 1.840 .0658 .02038369
YRSTCHR | -.00114542 ......(Fixed Parameter).......
TCHBAC | .30397634 ......(Fixed Parameter).......
FTSHARE | -.31230345 .10813592 -2.888 .0039 .24280575
GIRL_FT | .34810059 .35422595 .983 .3258 .10971223
F1_SUPPL| .04794771 .07133228 .672 .5015 .00838170
F1_FAC1 | -.01430482 .07753319 -.184 .8536 -.06643672
DISTC | .00036505 .00857017 .043 .9660 6.91998082
---------+Threshold parameters for index
Mu(1) | .93564915 .14997002 6.239 .0000
Mu(2) | 1.57033181 .10105539 15.539 .0000
Mu(3) | 1.97796974 .06884951 28.729 .0000
Mu(4) | 2.40797842 .08186716 29.413 .0000
Mu(5) | 3.01425959 .12735666 23.668 .0000
Mu(6) | 3.02337926 .12906982 23.424 .0000
Mu(7) | 3.13413989 .14681578 21.347 .0000
+---------------------------------------------+
| Ordered Probability Model |
| Maximum Likelihood Estimates |
| Model estimated: Jan 31, 2008 at 03:36:50PM.|
| Dependent variable GRADATT1 |
| Weighting variable None |
| Number of observations 834 |
| Iterations completed 49 |
| Log likelihood function -879.4733 |
| Number of parameters 38 |
| Info. Criterion: AIC = 2.20018 |
| Finite Sample: AIC = 2.20465 |
| Info. Criterion: BIC = 2.41552 |
| Info. Criterion:HQIC = 2.28274 |
| Restricted log likelihood -1547.237 |
| McFadden Pseudo R-squared .4315847 |
| Chi squared 1335.528 |
| Degrees of freedom 30 |
| Prob[ChiSqd > value] = .0000000 |
| Underlying probabilities based on Normal |
+---------------------------------------------+
| Total observations = 834.0 |
| Uncensored = 306.0, censored = 528.0 |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Index function for probability
Constant| 8.13441449 .87643948 9.281 .0000
AGE1 | -.31250626 .05308666 -5.887 .0000 15.6175060
GIRL1 | -.26554081 .12228330 -2.172 .0299 .41247002
RICH | .33973482 .08221790 4.132 .0000 -.02167237
MISEDM | -.21837324 .19147133 -1.141 .2541 .10071942
MOMED | -.00288493 .02098014 -.138 .8906 1.52673674
DADED | .02934360 .01423680 2.061 .0393 2.70019039
MISEDFHH| -.26316948 .15716786 -1.674 .0940 .16546763
REGION1 | -.63593108 .18051299 -3.523 .0004 .18705036
REGION2 | -.18266061 .22508431 -.812 .4171 .05755396
REGION3 | .05705597 .24942158 .229 .8191 .05875300
REGION4 | -.15384265 .21546830 -.714 .4752 .11510791
REGION5 | -.10319191 .17454227 -.591 .5544 .11630695
REGION6 | -.15925307 .23560296 -.676 .4991 .04916067
REGION8 | .02918756 .21983493 .133 .8944 .06714628
ETHN2 | .00497250 .13954754 .036 .9716 .19664269
ETHN3 | .39856760 .15829931 2.518 .0118 .21223022
ETHN4 | .72539671 .25392708 2.857 .0043 .06115108
ETHN5 | .29420208 .17842763 1.649 .0992 .12110312
ETHN6 | -.05300107 .22580284 -.235 .8144 .04436451
RURALF | -.27918343 .18820756 -1.483 .1380 .56115108
YRSDR95 | .00880528 .00672356 1.310 .1903 12.4088729
EDDRBAC1| -.03796261 .12763570 -.297 .7661 .53965411
MISDIR95| 1.14741544 .45896995 2.500 .0124 .02038369
YRSTCHR | -.00114542 .00847133 -.135 .8924 11.5313749
TCHBAC | .30397634 .14449243 2.104 .0354 .42865708
FTSHARE | -.31230345 .18342327 -1.703 .0886 .24280575
GIRL_FT | .34810059 .24338114 1.430 .1526 .10971223
F1_SUPPL| .04794771 .03781105 1.268 .2048 .00838170
F1_FAC1 | -.01430482 .05127098 -.279 .7802 -.06643672
DISTC | .00036505 .00532954 .068 .9454 6.91998082
---------+Threshold parameters for index
Mu(1) | .93564915 .11284646 8.291 .0000
Mu(2) | 1.57033181 .07560000 20.772 .0000
Mu(3) | 1.97796974 .06318754 31.303 .0000
Mu(4) | 2.40797842 .05591468 43.065 .0000
Mu(5) | 3.01425959 .05834226 51.665 .0000
Mu(6) | 3.02337926 .05865874 51.542 .0000
Mu(7) | 3.13413989 .07964772 39.350 .0000
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