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st: RE: Generalised Probit Residual


From   "Michaud, Pierre-Carl" <michaud@rand.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Generalised Probit Residual
Date   Wed, 16 Nov 2005 11:37:27 -0800

Dear Georgios, there is a paper by Vella and Verbeek in Journal of
Econometrics (I think 1997) that constructs generalized residuals in the
case of a panel data random effect model. It is for a different
problematic than yours (theirs is for a sample selection model) but I
think you will get the insight there.
Best, Pierre-Carl.

Pierre-Carl Michaud
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RAND, 1776 Main St
P.O. 2138
Santa Monica
CA 90407-2138
tel:(310) 393-0411 x7620
fax:(310) 574-3950
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
gmc107@york.ac.uk
Sent: Wednesday, November 16, 2005 11:32 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Generalised Probit Residual

Dear Statalisters,
I want to extract the generalised residuals from the simple probit model
to
use them as additional regressors in a second stage regression--i.e
implementing a variant of Heckman's (1981) solution to the initial
conditions problem.
The generalised residual for the Probit model as defined by Gourieroux
et al
(1987) is:
u= {phi(xb).[y-PHI(xb)]}/{PHI(xb).[1-PHI(XB)]}
The way I am thinking of extracting the generalised probit residuals is
as
follows:
predict xb, xb
gen norm(xb)=normxb --i.e the cumulative standard normal distr
gen normalden(xb)=normaldenxb -- i.e the standard normal desnity
gen denominator= norxb*[1-normxb]
gen numerator= normaldenxb*[y-normxb] --where y is my binary dependent
variable
Is this right?
Then if I want to extract the error term after estimating a model using
xtprobit (random effects probit) do I follow the same procedure or is
this
completely wrong?
Would be most grateful if anyone could help.
Georgios

  


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