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Re: [SPAM] RE: st: RE: svy probit/logit iv


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: [SPAM] RE: st: RE: svy probit/logit iv
Date   Wed, 12 Jul 2006 15:13:51 -0500

At 01:34 PM 7/12/2006, Zhu, Liye wrote:
Thanks for Professor Williams' answer!

When I use -suest ml, svy- after -ivprobit- and -est store-, the error message is "option svy not allowed, r(198);". I already did -svyset [pweight=wtper2], strata(stratawr) psu(psuwrx)-. I am using Stata 9.2.
Liye, I suggest running this example I provided earlier:

webuse nhanes2f
ivprobit diabetes female (heartatk = rural) [iw=finalwgt]
est store m1
suest m1, svy

If you get an error message, then I suspect your Stata installation has problems, e.g. your ado files may not be up to date.

If my example does run, I would suggest posting your code and output. My guess is you are typing something wrong or are not properly svysetting the file, but it is impossible to tell without seeing what you actually did. Indeed, if that is the way you typed in the svyset command, it looks wrong to me; I think it should be

svyset psuwrx [pweight=wtper2], strata(stratawr)


Another question: how do you choose iweight in -ivprobit-? In my case, the survey data only provides one weight variable, which is recommended by the codebook to be used as "svyset [pweight=wtper2], strata(stratawr) psu(psuwrx)". Since there is no other weight variable, in -ivprobit-, I set [iweight=wtper2]. I am not quite sure if this is where the problem comes from.
See my above example.

Question about -suest-: From Stata 9.2 help file, "The within-model covariance matrices computed by suest are identical to those obtained by specifying a robust or cluster() option during estimation. suest, however, also estimates the between-model covariances of parameter estimates.". Since I am using -ivprobit-, does this mean there is any between-model covariances of parameter estimates? If not, then the ways to use -suest- and to specify robust or cluster() option during estimation are identical. right?
The above refers to when you are estimating 2 or more models. You might do this if, say, you wanted to test equality of coefficients across models. You are only doing one estimation in this case.

If using suest, you should not also specify robust and cluster. Like the help for suest says, "Estimation should take place without the options robust or cluster(). suest always computes the robust estimator of the (co)variance, and suest has a cluster() option."

The whole reason you are using suest in the first place is because robust and cluster aren't enough, i.e. they don't capture the effects of your stratification variable.



Last question about score: it seems that Stata 9.2 considers score as old. So commands in Stata 9.2, such as -ivprobit-, do not surpport score. I do not need to specify score in -ivprobit-. Correct? By the way, I am not familiar with the score option.
No, you don't need to specify it in Stata 9. Suest will take care of this for you. Again, you can use my example as a template for your own analysis.


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Richard Williams, Notre Dame Dept of Sociology
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