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Re: st: RE: Cumulative Distribution Function


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:
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>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>> *
>> *   For searches and help try:
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>> *   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/

*
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