Dear Statalisters,
I am using a random effects probit model while accounting for the initial
conditions problem. I have already implemented Wooldridge's solution JAE
2005 and currently I am implementing the Heckman 1981 approach with the
redprob command from Prof Mark Stewart,-redprob- A Stata program for the
Heckman estimator of the random effects dynamic probit model, University of
Warwick, mimeo, 2006.
The problem is that I cannot figure of a way to speficy the from () matrix
containing the initial parameters values. This is the relevant part of the
code:
/* Set up initial values. */
tempname llrho0 b0 b00 b1 lllast b ll V b2
if "`from'"=="" {
di _n in gr "Pooled Probit Model for t>1"
probit `y' `xvars' if `touse' & `t'>1
scalar `llrho0' = _result(2)
matrix `b0' = get(_b)
matrix coleq `b0' = `y'
di _n in gr "Probit Model for t=1"
probit `y' `zvars' if `touse' & `t'==1
scalar `llrho0' = `llrho0'+_result(2)
matrix `b00' = get(_b)
matrix coleq `b00' = rfper1
matrix `b0' = `b0' , `b00'
matrix `b1' = (-0.5, 0)
matrix colnames `b1' = logitrho:_cons ltheta:_cons
matrix `b0' = `b0' , `b1'
}
else {
mat `b0' = `from'
}
The default for the "from" matrix uses a pooled probit for t>1 and a
separate probit for the intial period. In the example of the mimeo Stewart
(2006) defines it as: from (bstart1) but when I choose something like this
the command does not work. What I get is just the pooled probit model and
then a warning message saying no observations for the probit model t=1. I do
not see how the default works and I have tried many many different matrices
such as b0, e(b) etc etc without any result. If I use the following:
redprob neworgmb neworgmblag age (age lfbanfin lffbanfin), i(pid) t(year)
quadrat(30)
from(e(b))
I get this:
Dependent variable = neworgmb
x-variables = neworgmblag age
z-variables = age lfbanfin lffbanfin
Assumed lagged dependent variable = neworgmblag
Iterations for full ML estimation
----------------------------------------------------------------------------
--
Iteration 0:
Coefficient vector:
neworgmb: neworgmb: neworgmb: rfper1: rfper1:
rfper1: rfper1: logitrho: ltheta:
neworgmblag age _cons age lfbanfin
lffbanfin _cons _cons _cons
r1 2.610615 .0075474 -1.73626 0 0
0 0 0 0
could not calculate numerical derivatives
flat or discontinuous region encountered
r(430);
.
Would be most grateful if someone could help.
Georgios
*
* 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/