[Limdep Nlogit List] Selection model

[Jadwiga Kostrzewska]

Thanks a lot!
;-)
Jadwiga Kostrzewska

Dnia 8-05-2009 o godz. 12:40 William Greene napisał(a):
> Jadwiga:
> (1) Both estimates are correct. The probit estimates reported with
> the PROBIT command are limited information MLEs.  LIML because they
> are estimated aside from rho, sigma and beta.  The MLE computed with
> SELECT is a FIML estimator, for the same reason. Both are consistent
> and asymptotically normally distributed. In theory, the FIML estimator
> is more efficient. In a finite sample, however, the difference will
> often be small because rho is usually estimated with a fair amount of
> sampling variation, and this is transmitted to the estimator of
> alpha.
> (2) B and VARB in the SELECTION model contain the FIML results from
> the selection estimator, not the original PROBIT estimates.
> (3) You can use either estimator. The only difference between them
> is efficiency, and this is likely to be a small difference in
> practice.
> Regards,
> Bill Greene
> 
> ----- Original Message -----
> From: "Jadwiga Kostrzewska" <dwakotki at wp.pl>
> To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
> Sent: Friday, May 8, 2009 4:33:57 AM GMT -05:00 Columbia
> Subject: [Limdep Nlogit List] Selection model
> 
> Dear all,
> I am estimating the selection model with commands (in LimDep 9.0):
> PROBIT; Lhs=SELEKCJA; Rhs=W; Hold$
> SELECT; Lhs=ZAL; Rhs=XW; MLE$
> In the manual it is written:
> E30-14: “b and varb contain beta, sigma and rho”. (The beta is a vector
> of parameters in the second equation.)
> E30-12 in the frame: “Although this model computes an estimate of alpha,
> it does not replace the estimates that have been retained with the ;Hold
> instruction in the preceding PROBIT command”. (The alpha is a vector of
> parameters in the first equation.)
> But in the LimDep program: b=(est.alpha, est.beta, sigma, rho), not
> (est.beta, sigma, rho). Moreover est.alpha in b is not equal to the
> estimators of alpha in PROBIT model.
> 
> I have some questions:
> Which estimates of alpha for the selection model are correct? That is
> which set of alpha, these from b in the selection model or these from
> the probit model, are better? One more question is: Which set of alpha
> does varb in the selection model is related to?
> 
> The similar question is about the parameter vector of alpha in the
> selection model with heteroscedasticity. In this model b=(beta, gamma in
> the heterosc. equation, sigma, rho). I do not know which set of alpha
> should I take: the limited information MLE estimator of alpha from the
> model:    PROBIT; Lhs=SELEKCJA; Rhs=W$    or the estimator from the
> homoscedastic selection model:
> PROBIT; Lhs=SELEKCJA; Rhs=W; Hold$
> SELECT; Lhs=ZAL; Rhs=XW; MLE$  ?
> 
> Thank you for the answers.
> Best regards,
> Jadwiga Kostrzewska
> 
> ----------------------------------------------------
> Załóż album ze zdjęciami z Pierwszej Komunii Twojego dziecka!
> W Pikeo aż 1 GB na fotki za darmo:
> http://klik.wp.pl/?adr=http%3A%2F%2Fcorto.www.wp.pl%2Fas%2Fpikeorejestracja2.html&sid=719
> 
> 
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au

----------------------------------------------------
Doda - "Dziękuję". Premiera klipu tylko tu: 
http://klik.wp.pl/?adr=http%3A%2F%2Fcorto.www.wp.pl%2Fas%2Fdoda_teledysk.html&sid=723