[Limdep Nlogit List] Generated Regressors in an Ordered Probit

[William Greene]

David. In Section 23.7 of the 6th edition of my text, you will
see how to do this for a binary probit model with an endogenous
continuous variable. It's fairly simple - indeed, that one is
actually built into limdep.  For an ordered probit model, you
will need to modify the second part of the log likelihood. It's
going to be a little involved, but doable.  As a first step, if 
you convert your ordered probit dependent variable to 0 or >0,
you can use this routine directly. It will at least give you an
idea where you are going.
/Bill Greene



----- Original Message -----
From: "David Tufte" <tufte at suu.edu>
To: limdep at limdep.itls.usyd.edu.au
Sent: Friday, April 9, 2010 6:29:03 PM GMT -05:00 US/Canada Eastern
Subject: [Limdep Nlogit List] Generated Regressors in an Ordered Probit

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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