[Limdep Nlogit List] problems with cluster adjustment to variancesin ordered probit
Peter Glick
pjg4 at cornell.edu
Tue Feb 5 04:29:11 EST 2008
Cathy,
That shouldn't cause the problem--after all we are making the adjustment
primarily to get more accurate variance estimates for the covariates that
do not vary within clusters. But in any case, several of the 'fixed'
estimates do vary within clusters.
Peter
At 12:13 PM 2/4/2008, Durham, Cathy wrote:
>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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