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st: Re: Generalized (probit) residuals


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Generalized (probit) residuals
Date   Mon, 29 Dec 2003 18:42:16 -0600

Mike,

As I understand it, the generalized residual for the probit model is:

u = [pdf(xB)/cdf(xB)*(1 - cdf(xB))]*[y - cdf(xB)]

When y = 1

u = pdf(xB)/cdf(xB)

when y = 0

u = - pdf(xB)/(1 - cdf(xB))

where pdf and cdf are the p.d.f. and c.d.f. of N(0,1)

In Stata:
probit y x
predict xb, xb
gen gen_residual = cond(foreign == 1,
normden(xb)/norm(xb), -normden(xb)/(1-norm(xb)))


Hope this helps,
Scott


----- Original Message ----- 
From: "Michael Furukawa" <mifuruka@wharton.upenn.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, December 25, 2003 10:39 AM
Subject: st: Generalized (probit) residuals


> Can anyone help me with how to calculate the generalized (probit)
> residuals based on Gourieroux et.al. (1987, Journal of Econometrics)?
>
> thanks,
> Mike Furukawa
> PhD Candidate
> Wharton/University of Pennsylvania
>

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