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RE: st: Fixed-effects and the ordered logit/probit model


From   "Tobias Hofmann" <thofmann@uni-hd.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Fixed-effects and the ordered logit/probit model
Date   Mon, 6 Sep 2004 16:53:14 +0200

Dear Statalisters,

Having read Marc's quick response to Eric's question, I just wanted to give
those two commands (-reoprob- and -gllamm-) a try. However, the
(non-existent) results were rather disappointing. Running -reoprob- Stata
8.2 told me "outcome does not vary" and running -gllamm- Stata has not even
bother to tell me anything within the last 25 minutes. What could be the
reasons for these strange results?

Thanks for your help,
Tobias

PS: The model consists of one dependent variable with 3 different values (1,
2 and 3), two continuous independent variables, 15 countries and 20 years. 
 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Mark Schaffer
Sent: Monday, September 06, 2004 3:33 PM
To: statalist@hsphsun2.harvard.edu; Eric Neumayer
Subject: Re: st: Fixed-effects and the ordered logit/probit model

Eric,

Quoting Eric Neumayer <e.neumayer@lse.ac.uk>:

> Hi,
> 
> the statistic for computing an ordered logit/probit model with fixed 
> effects is extremely complex, which is why Stata has no routine such 
> as xtoprobit or xtologit, right? So, how would one interpret the 
> results if someone were to introduce country dummies in an oprobit 
> model to estimate the following?
> 
> xi: oprobit y x i.country
> 

This came up on Statalist about a year ago, and generated a thread which
included a very informative response from Bill Gould, Vince Wiggins and
David Drukker:

http://www.stata.com/statalist/archive/2003-09/msg00103.html

The bottom line is that the estimator isn't consistent, and if you use it
you'll probably get "awful" results.  As others in the thread pointed out,
the most appealing alternative is probably random effects ordered probit
using -reoprob- or -gllamm-.

Cheers,
Mark

> Thanks for any suggestions. Eric Neumayer
> 
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS tel +44-131-451-3494 / fax
+44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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