[Limdep Nlogit List] Generated Regressors in an Ordered Probit

[Yen, Steven T]

David
If your endogenous variable is not continuous but ordinal, then I have a paper you might look at.
I have a couple of papers on ordered probability models, one with binary endogenous switching and the other one with an ordinal treatment.
Steven Yen
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________________________________

From: limdep-bounces at limdep.itls.usyd.edu.au on behalf of William Greene
Sent: Fri 4/9/2010 8:59 PM
To: Limdep and Nlogit Mailing List
Subject: Re: [Limdep Nlogit List] Generated Regressors in an Ordered Probit



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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Steven T. Yen
http://web.utk.edu/~syen/
<http://web.utk.edu/~syen/> Check out our postdoc opening at:
http://web.utk.edu/~syen/postdoc.html
<http://web.utk.edu/~syen/postdoc.html>