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From |
Jon Wainwright <jwainwright@austin.rr.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: RE: Cumulative Distribution Function |

Date |
Fri, 13 Sep 2002 12:39:18 -0500 |

Alsion, I believe their is an FAQ about IMR on Stata's website. Specifically, http://www.stata.com/support/faqs/stat/invmills.html and http://www.stata.com/support/faqs/stat/bias.html. Best, Jon Wainwright NERA, Inc. -- > From: Alison Wong <aliwong@ucalgary.ca> > Reply-To: statalist@hsphsun2.harvard.edu > Date: Fri, 13 Sep 2002 11:33:50 -0600 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Cumulative Distribution Function > > Hi: > Here is more information about my problem. In a block sense, I am > trying to calculate the Inverse Mill Ratio (IMR) to be use to calculate > some form of generalized residual. I read this method from Francis > Vella's article: > > "A Simple Estimator for Simultaneous Models with Censored Regressors", > International Economic Review, Volume 34, Issue 2 (May, 1993), 441-457. > > In his article he suggested if you have a censored endogenous variable > in a simultaneous equation system, than you could use a two step > procedure (similar to the one Heckman presents) to get consistent > estimates. The first step is to regress the reduced form of the > censored endogenous variable using tobit. By that you should get > estimates of coefficients (beta) and standard errors (sigma), then you > could use these estimates to calculate the generalized residuals. The > problem is in his generalized residual equation, he has the cumulative > distribution function (cdf) and probability density function (pdf) in it > and presented in the form similar to the Inverse Mill Ratio. This is the > part that I can't figure out how to calculate, because I can't find > anything in Stata that would calculate the Inverse Mill Ratio, of > course, it calculate the IMR in the two step Heckman command but I don't > want to use the Heckman command, so is there any other ways to obtain > the IMR? > > I hope I provide enough information this time. If anyone is interested > in this paper pls. let me know and I could send you a copy of this > paper. I would really appreciate if anyone who had read this article to > tell me how to calculate the generalized residuals using Stata. > > Thank you! > > Alison > > > FEIVESON, ALAN H. (AL) (JSC-SD) (NASA) wrote: > >> Alison - >> >> I'm afraid your question is not specific enough. What model are you running >> to get estimates of your coefficients? What random variable do you want to >> get the cdf and/or pdf for? What distribution does it have under the assumed >> model? Do you want to evaluate this cdf/pdf as a function prescribed by your >> model over a range of values, or do you want to compute an empirical cdf or >> pdf from data? >> >> >> Al Feiveson >> >> >> -----Original Message----- >> From: Alison Wong [mailto:aliwong@ucalgary.ca] >> Sent: Thursday, September 12, 2002 12:01 PM >> To: statalist@hsphsun2.harvard.edu >> Subject: st: Cumulative Distribution Function >> >> >> Hi: >> >> I have a problem of getting the cumulative distribution function (cdf) >> and probability density function (pdf). In particular I need to get the >> cdf and pdf evaluated at the estimated coefficients (beta) and standard >> errors (sigma). I realize there are the "cumul" & "kdensity" command in >> stata, but those only allows a single variable, but I have more than one >> variable. >> >> Does anyone have a better idea of how to get cdf or pdf? >> >> Thanks. >> >> Alison Wong >> >> * >> * For searches and help try: >> * http://www.stata.com/support/faqs/res/findit.html >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> * >> * For searches and help try: >> * http://www.stata.com/support/faqs/res/findit.html >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: RE: Cumulative Distribution Function***From:*Alison Wong <aliwong@ucalgary.ca>

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