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Re: st: use -predictnl- to construct confidence intervals


From   David Jacobs <jacobs.184@sociology.osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: use -predictnl- to construct confidence intervals
Date   Tue, 31 Aug 2010 20:59:53 -0400

What Stata routine gives random-effects ordered probit??

Dave Jacobs

At 05:50 PM 8/31/2010, you wrote:
Dear all,

I am using a random effects ordered probit model to estimate the
transition of health status over time. There are four health states:
poor, fair, good and excellent. After using -reoprob- estimation, I
used -predictnl- to construct 95% intervals of the predicted
probabilities of reporting each health status. I specified the
expression to -predictnl- for reporting the poor health status as
following:

predictnl prob1=
normprob((_b[_cut1:_cons]/sqrt(1+(_b[rho:_cons]/(1-_b[rho:_cons])))) -
(predict(xb)/sqrt(1+(_b[rho:_cons]/(1-_b[rho:_cons]))))), ci(p1lower
p1upper)

in which    _b[_cut1:_cons]    is the estimate of the lowest cut-point
 and      sqrt(1+(_b[rho:_cons]/(1-_b[rho:_cons])))    is a scale
representing the square root of (1+ &#963;^2). In Wooldridge 2005
 "SIMPLE SOLUTIONS TO THE INITIAL CONDITIONS PROBLEM IN DYNAMIC,
NONLINEAR PANEL DATA MODELS WITH UNOBSERVED HETEROGENEITY", it is
suggests that the original parameters should be divided by this scale
to construct the expected probability function in order to calculate
the average partical effects.

After the prediction, I got two variables for the upper and lower
bounds of the 95% confidence interval for each observation. But
strangely, for some of the observations, the left endpoint is a
negative value. This is supposed to be a predicted probability, so I am
not sure why -predictnl- is generating a negative value here. Did I do
something wrong with the expression in -predictnl- ? Many thanks!

Daisy
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