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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: simulation for generalized ordered logit models |

Date |
Thu, 19 May 2011 14:50:14 +0200 |

On Wed, May 18, 2011 at 9:11 PM, Jun Xu <mystata@hotmail.com> wrote: > I am trying to study performance of some extensions of the order logit models (e.g., generalized ordered logit models and partial proportionality models. However, it appears the data generating process is a bit tricky. My problem is that I don't know (or I don't know if I did it right) how to turn latent y's into an observed ordered response variable. In addition, because of that, I think the gologit2 estimates seem to be off quite a bit. One problem I see is in the way you create the error term: you should use the same error term for both equations. Anyhow, below is an example that seems to work well. For summarizing the simulation results I use Ian White's -simsum- command, as discussed in (White 2010). You can install it by typing in Stata. -findit simsum- and follow the instruction. In this example -gologit2- seems do very well with respect to both bias and coverage. *--------------------- begin example ----------------------------- set seed 1234 program drop _all program define sim drop _all set obs 500 gen x1 = rnormal() gen x2 = rnormal() gen u = runiform() gen ystar2 = 1 + x1 - .5*x2 + ln(u/(1-u)) gen ystar3 = -1 + x1 - 1*x2 + ln(u/(1-u)) gen y = cond(ystar2 < 0, 1, /// cond(ystar3 < 0, 2, 3)) gologit2 y x1 x2, pl(x1) end simulate _b _se, reps(5000) : sim simsum _eq1_b_x1 , true(1 ) se(_eq3_se_x1) /// mcse bias cover simsum _eq1_b_x2 , true(-.5) se(_eq3_se_x2) /// mcse bias cover simsum _eq1_b_cons, true(1 ) se(_eq3_se_cons) /// mcse bias cover simsum _eq2_b_x1 , true(1 ) se(_eq4_se_x1) /// mcse bias cover simsum _eq2_b_x2 , true(-1 ) se(_eq4_se_x2) /// mcse bias cover simsum _eq2_b_cons, true(-1 ) se(_eq4_se_cons) /// mcse bias cover *------------------------ end example ------------------------------ (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Ian R. White (2010) "simsum: Analyses of simulation studies including Monte Carlo error" The Stata Journal, 10(3):369-385. Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: simulation for generalized ordered logit models***From:*Jun Xu <mystata@hotmail.com>

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