[Limdep Nlogit List] Generated Regressors in an Ordered Probit
David Tufte
tufte at suu.edu
Sat Apr 10 08:29:03 EST 2010
A referee believes this will make a difference in my results.
I have a 2 equation system. I estimated one equation by OLS, obtained
generated regressors from it, and used them in variables in an
ordered probit. This method is inefficient due to multiple causes of
non-spherical errors - but it was convenient to do it this way with
simple LimDep commands straight out of the manual.
It seems best, given the referee's complaint, to follow McAleer and
McKenzie and estimate this system by FIML to solve all of the
non-spherical error issues at once.
I know how to set up and maximize the likelihood function of a
simpler system in RATS (where my coding skills are better), but to do
this I would have to figure out how to modify the likelihood for an
ordered probit.
I am wondering if anyone can point me towards 1) a program or example
of how to set up and estimate a system of equations by FIML in
LimDep, and 2) a program showing the ordered probit likelihood in
LimDep that I could modify and paste into that.
Regards,
David Tufte
Associate Professor
Department of Economics and Finance
School of Business
Southern Utah University
Cedar City, UT 84720
http://www.suu.edu/faculty/tufte/
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