[Limdep Nlogit List] Re: Running a Multiple Input -Output DEA model in limdep
Barry Quinn
bquinn14 at qub.ac.uk
Tue Jul 8 18:12:55 EST 2008
Hi Bill,
Yes, I have checked and the version I have is 8.0.0.0 , copyright 2002.
Does this seems correct ? Do you think reinstallation is required ?
Regards
Barry
-----Original Message-----
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Subject: Limdep Digest, Vol 28, Issue 4
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Today's Topics:
1. Limdep code to estimate a bivariate probit with sample
selection using panel data? (Magnus Soderberg)
2. Re: Limdep code to estimate a bivariate probit with sample
selection using panel data? (William Greene)
3. Running a Multiple Input -Output DEA model in limdep (Barry Quinn)
4. Re: Running a Multiple Input -Output DEA model in limdep
(William Greene)
5. ordered tobit model (Sami Haile)
6. Re: ordered tobit model (William Greene)
----------------------------------------------------------------------
Message: 1
Date: Mon, 7 Jul 2008 14:50:09 +0930
From: "Magnus Soderberg" <Magnus.Soderberg at unisa.edu.au>
Subject: [Limdep Nlogit List] Limdep code to estimate a bivariate
probit with sample selection using panel data?
To: <limdep at limdep.itls.usyd.edu.au>
Message-ID:
<C3D4BCF661A3BC4F864B67593F01481903AB2D87 at ITUPROD-EXCL1.UniNet.unisa.edu.au>
Content-Type: text/plain; charset="us-ascii"
I want to estimate a bivariate probit with sample selection using panel
data and Limdep 9.0.
However, I do not understand from the help file how I should specify
such an estimation in Limdep. Does anyone
have a clue how to do that?
And, should y1 have 0's whenever y2 is 0?
Best,
Magnus
------------------------------
Message: 2
Date: Mon, 7 Jul 2008 06:16:21 -0400 (EDT)
From: William Greene <wgreene at stern.nyu.edu>
Subject: Re: [Limdep Nlogit List] Limdep code to estimate a bivariate
probit with sample selection using panel data?
To: Limdep and Nlogit Mailing List <limdep at limdep.itls.usyd.edu.au>
Message-ID:
<33376901.904821215425781134.JavaMail.root at calliope.stern.nyu.edu>
Content-Type: text/plain; charset=utf-8
Magnus.
The bivariate probit part is specified as usual:
BIVARIATE ; Lhs = y1,y2 ; Rh1 = ... ; Rh2 = ... ; Selection
The panel part is ;PDS = the usual
The random parameters part is
; FCN = variable (distribution) ... for variables in equation 1 and
variable [distribution] ... for variables in equation 2.
You should use Halton sequences with
;HALTON ; PTS = the number of draws.
There are no fixed effects or latent class versions of this model.
/B. Greene
----- Original Message -----
From: "Magnus Soderberg" <Magnus.Soderberg at unisa.edu.au>
To: limdep at limdep.itls.usyd.edu.au
Sent: Monday, July 7, 2008 1:20:09 AM (GMT-0500) America/New_York
Subject: [Limdep Nlogit List] Limdep code to estimate a bivariate probit
with sample selection using panel data?
I want to estimate a bivariate probit with sample selection using panel
data and Limdep 9.0.
However, I do not understand from the help file how I should specify
such an estimation in Limdep. Does anyone
have a clue how to do that?
And, should y1 have 0's whenever y2 is 0?
Best,
Magnus
_______________________________________________
Limdep site list
Limdep at limdep.itls.usyd.edu.au
http://limdep.itls.usyd.edu.au
--
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY 10012
http://www.stern.nyu.edu/~wgreene
212.998.0876
------------------------------
Message: 3
Date: Mon, 7 Jul 2008 11:58:28 +0100
From: "Barry Quinn" <bquinn14 at qub.ac.uk>
Subject: [Limdep Nlogit List] Running a Multiple Input -Output DEA
model in limdep
To: <limdep at limdep.itls.usyd.edu.au>
Message-ID: <001e01c8e020$63371a30$29a54e90$@ac.uk>
Content-Type: text/plain; charset="us-ascii"
Hi,
I have been attempting to run a DEA analysis with 4 outputs and 3 inputs
with their corresponding price information. I have been using the
following command
frontier;lhs=LOANS_TO,CASH_AT_,DEPS_AND,MEMBERS0
;Rhs=OFFICEOP,INTERES0,ADJLABOU
;Rh2=COSTOFPH,COSTOFF0,COSTOFLA;Alg=DEA$
But each time i obtain the following output for what appears to be
stochastic model
+---------------------------------------------+
| Limited Dependent Variable Model - FRONTIER |
| Maximum Likelihood Estimates |
| Model estimated: Jul 03, 2008 at 01:13:11PM.|
| Dependent variable LOANS_TO |
| Weighting variable None |
| Number of observations 401 |
| Iterations completed 2 |
| Log likelihood function -16194.03 |
| Variances: Sigma-squared(v)=************* |
| Sigma-squared(u)=************* |
| Sigma(v) =************* |
| Sigma(u) =************* |
| Sigma = Sqr[(s^2(u)+s^2(v)]=************* |
| Stochastic Production Frontier, e=v-u. |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
Primary Index Equation for Model
CASH_AT_ 941360.451 .155670D+15 .000 1.0000 666488.943
DEPS_AND -.91940141 .207437D+10 .000 1.0000 .167134D+08
MEMBERS0 1.07323389 .244951D+10 .000 1.0000 .291667D+08
Offset [mean=mu(i)] parameters in one sided error
OFFICEOP 3165.15693 .100603D+13 .000 1.0000 209418.915
INTERES0 10046.9602 .302607D+13 .000 1.0000 650960.177
ADJLABOU .09928049 .955698D+16 .000 1.0000 6.67278696
Variance parameters for compound error
Lambda .70502733 .116574D+09 .000 1.0000
Sigma .137881D+18 .103530D+17 13.318 .0000
Can anyone see any obvious problem in my command function that i am missing
??
Many thanks
Barry Quinn
------------------------------
Message: 4
Date: Mon, 7 Jul 2008 07:21:34 -0400 (EDT)
From: William Greene <wgreene at stern.nyu.edu>
Subject: Re: [Limdep Nlogit List] Running a Multiple Input -Output DEA
model in limdep
To: Limdep and Nlogit Mailing List <limdep at limdep.itls.usyd.edu.au>
Message-ID:
<28283898.906451215429694562.JavaMail.root at calliope.stern.nyu.edu>
Content-Type: text/plain; charset=utf-8
Barry. It looks like your program does not support DEA.
Is this version 8.0?
/Bill Greene
----- Original Message -----
From: "Barry Quinn" <bquinn14 at qub.ac.uk>
To: limdep at limdep.itls.usyd.edu.au
Sent: Monday, July 7, 2008 6:58:28 AM (GMT-0500) America/New_York
Subject: [Limdep Nlogit List] Running a Multiple Input -Output DEA model in
limdep
Hi,
I have been attempting to run a DEA analysis with 4 outputs and 3 inputs
with their corresponding price information. I have been using the
following command
frontier;lhs=LOANS_TO,CASH_AT_,DEPS_AND,MEMBERS0
;Rhs=OFFICEOP,INTERES0,ADJLABOU
;Rh2=COSTOFPH,COSTOFF0,COSTOFLA;Alg=DEA$
But each time i obtain the following output for what appears to be
stochastic model
+---------------------------------------------+
| Limited Dependent Variable Model - FRONTIER |
| Maximum Likelihood Estimates |
| Model estimated: Jul 03, 2008 at 01:13:11PM.|
| Dependent variable LOANS_TO |
| Weighting variable None |
| Number of observations 401 |
| Iterations completed 2 |
| Log likelihood function -16194.03 |
| Variances: Sigma-squared(v)=************* |
| Sigma-squared(u)=************* |
| Sigma(v) =************* |
| Sigma(u) =************* |
| Sigma = Sqr[(s^2(u)+s^2(v)]=************* |
| Stochastic Production Frontier, e=v-u. |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
Primary Index Equation for Model
CASH_AT_ 941360.451 .155670D+15 .000 1.0000 666488.943
DEPS_AND -.91940141 .207437D+10 .000 1.0000 .167134D+08
MEMBERS0 1.07323389 .244951D+10 .000 1.0000 .291667D+08
Offset [mean=mu(i)] parameters in one sided error
OFFICEOP 3165.15693 .100603D+13 .000 1.0000 209418.915
INTERES0 10046.9602 .302607D+13 .000 1.0000 650960.177
ADJLABOU .09928049 .955698D+16 .000 1.0000 6.67278696
Variance parameters for compound error
Lambda .70502733 .116574D+09 .000 1.0000
Sigma .137881D+18 .103530D+17 13.318 .0000
Can anyone see any obvious problem in my command function that i am missing
??
Many thanks
Barry Quinn
_______________________________________________
Limdep site list
Limdep at limdep.itls.usyd.edu.au
http://limdep.itls.usyd.edu.au
--
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY 10012
http://www.stern.nyu.edu/~wgreene
212.998.0876
------------------------------
Message: 5
Date: Mon, 7 Jul 2008 12:13:55 -0700 (PDT)
From: Sami Haile <samex_zegr8 at yahoo.com>
Subject: [Limdep Nlogit List] ordered tobit model
To: limdep at limdep.itls.usyd.edu.au
Message-ID: <46195.25833.qm at web45201.mail.sp1.yahoo.com>
Content-Type: text/plain; charset=iso-8859-1
Hi,
I want to eastimate an ordered tobit model or ordered probit model followed
by bivariate tobit model after heckman selection is applied, similar to that
of Bellemare and Barret (2006). That is how can I eastimate an ordered
heckit with limited information maximum likelihood, using Heckman's two step
approach. How can I do this in Limdep, and with which version of limdep. My
dependent variable is market participation which takes three forms, net
buyers, Autarkic and Net sellers. ?
Regards,
Sami
------------------------------
Message: 6
Date: Mon, 7 Jul 2008 20:58:12 -0400 (EDT)
From: William Greene <wgreene at stern.nyu.edu>
Subject: Re: [Limdep Nlogit List] ordered tobit model
To: Limdep and Nlogit Mailing List <limdep at limdep.itls.usyd.edu.au>
Message-ID:
<11115853.977221215478692956.JavaMail.root at calliope.stern.nyu.edu>
Content-Type: text/plain; charset=utf-8
Sami.
First, note that there is a methodological error in Bellemare and Barret
(2006) that
you may or may not want to pay attention to. In their specification, they
explicitly
note that y(i,2) > 0 and y(i,3) > 0. As such, the log likelihood on page
329 is not
correct. That function treats y(i,2) and y(i,3) as if they were determined
by simple
linear regressions with normally distributed disturbances when they should
be
truncated regressions, instead. That would make for a much more complicated
function.
However, my hunch is that the net sales or purchases (y(i,2) and y(i,3) are
not really
truncated normal variables - if so, they would be clustered near zero,and it
does
not sound like that is the case, so we'll assume that linear regression
models are OK
and as such, so is their (18). In fact, the first and third parts of (18)
are the
log likelihood functions for the familiar sample selection model. (Note, by
the way,
although they call the model in (18) some kind of "tobit" model, it is not a
tobit model.
There are no limit values for y(i,2) or y(i,3) in the log likelihood
function.
Second, a simple note that they should have made and didn't. In x(i,1),
there is no
constant term. But, there is in x(i,2) and x(i,3). The reason there is no
constant
term in x(i,1) is that the 3 outcome ordered probit model has two threshold
parameters,
alpha(1) and alpha(2). If there were a constant term, alpha(1) would have to
be fixed
at zero, and a nonzero constant and a different value would have been
reported for
alpha(2).
Third, it is claimed that the three epsilons are trivariate normally
distributed. Strictly
speaking, this is true. However, it should be noted that rho(2,3) must
equal zero because
a family cannot be a net seller and a net buyer at the same time.
With all that in place, you can easily fit this model using the FIML
estimator and the
MAXIMIZE command in LIMDEP. I suggest you use the olsen transformation.
Rather than
estimating beta2, estimate gamma2 = beta2/sigma2 and estimate gamma3 =
beta3/sigma3.
Also, reparameterizing the model in terms of theta2 = 1/sigma2 and theta3 =
1/sigma3 will
simplify the log likelihood function. You can use the delta method when you
are done
to recover beta2 and beta3 if you want to.
The authors' two step ordered probit method is actually a waste of effort.
It is not
necessary to fit the ordered probit model. If you define the variable
z(i,1) = 1 if y(i,1)
equals 2 and z(i,1) = zero if y(i,1) 0 or 1, then the garden variety famous
Heckman model
can be applied to z(i,1) and y(i,3). Be sure to include a constant term on
the RHS of
the probit model. Likewise, if you define z(i,0) = 1 if y(i,1) = 0 and
z(i,0) = 0 if y(i,1)
= 1 or 2, then the Heckman model applies to z(i,0) and y(i,2).
Two more notes:
(A) the methodology in the appendix has a flaw in it in that the cvariance
matrix used
in A.11 does not account for the estimated threshold parameters. This would
make a small
difference in the standard errors.
(B) The authors indicate that they used an ad hoc "instrumental variable"
procedure on
page 331. I do not see anywhere in any of the "derivations" where they
accounted for the
fact that they are using a predicted regressor in their model. This would
have to be
accounted for with a Murphy/Topel type of correction. This is not an
instrumental
variable; it is a constructed regressor.
Sincerely,
Bill Greene
----- Original Message -----
From: "Sami Haile" <samex_zegr8 at yahoo.com>
To: limdep at limdep.itls.usyd.edu.au
Sent: Monday, July 7, 2008 2:13:55 PM (GMT-0500) America/Bogota
Subject: [Limdep Nlogit List] ordered tobit model
Hi,
I want to eastimate an ordered tobit model or ordered probit model followed
by bivariate tobit model after heckman selection is applied, similar to that
of Bellemare and Barret (2006). That is how can I eastimate an ordered
heckit with limited information maximum likelihood, using Heckman's two step
approach. How can I do this in Limdep, and with which version of limdep. My
dependent variable is market participation which takes three forms, net
buyers, Autarkic and Net sellers. ??
Regards,
Sami
_______________________________________________
Limdep site list
Limdep at limdep.itls.usyd.edu.au
http://limdep.itls.usyd.edu.au
--
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY 10012
http://www.stern.nyu.edu/~wgreene
212.998.0876
------------------------------
_______________________________________________
Limdep mailing list
Limdep at limdep.itls.usyd.edu.au
http://limdep.itls.usyd.edu.au/mailman/listinfo/limdep
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