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st: ML estimation of bivariate ordered probit models with endogeneity


From   "Zurab Sajaia" <zsajaia@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: ML estimation of bivariate ordered probit models with endogeneity
Date   Fri, 15 Dec 2006 17:26:11 -0500

Dear all,

I'd like to share with you the new program -bioprobit- : maximum-likelihood estimation of bivariate ordered probit models. The setup is more ore less straightforward generalization of univariate ordered probit (or bivariate probit):

we have latent variables
y*_1=x_1*b_1+e_1
y*_2=x_2*b_2+e_2
where corr(e_1, e_2)=rho

observed are y_1=1...J, y_2=2...K (in fact program works with any coding of dependent variables not just from 1 to J or K).

If -endogenous- option is used, a modified model
y*_1=x_1*b_1+e_1
y*_2=gamma*y*_1+x_2*b_2+e_2

will be estimated ("standard" identification requirements apply).


-bioprobit- estimates all betas, rho, cutoff points and gamma. it is implemented as a d2 procedure.

The program and an accompanying paper was submitted to Stata Journal. The paper gives more detailed description of the model and also presents results of Monte Carlo simulations. You can find a draft version at http://econ.worldbank.org/programs/poverty/toolkit#bioprobit

Program can be installed by:

.net install bioprobit, from(http://siteresources.worldbank.org/INTPOVRES/Resources)
note: since Stata is case-sensitive you'll need to type the url as given here.


by typing :
. net from http://siteresources.worldbank.org/INTPOVRES/Resources

you'll find some programs written by us on poverty and inequality analysis, and other useful tools, including -xml_tab- module to export Stata output to a printer-ready formatted tables in an xml file directly openable in MS Excel and OpenOffice.org Calc;

recent addition to the site is program -bestreg- that implements the Leaps and Bounds algorithm for best subset selection for the regression analysis. It's still in the beta version but since there was some interest in tools for all possible regressions on Statalist recently I decided to put it online as well.


And of course, I'd appreciate any comment or suggestion.
Zurab


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