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st: RE: Error message when using SSM (ordered probit with sample selection)


From   "Katic, Pamela (IWMI-Ghana)" <P.Katic@cgiar.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Error message when using SSM (ordered probit with sample selection)
Date   Thu, 21 Jul 2011 17:38:11 +0530

I have reproduced the following example from Miranda and Rabe-Hesketh
(2006) but I still get the error message r(2000), that is, no
observations on which to run the model. So I suppose it is probably not
a problem of my coding:

set seed 12345678
set obs 3500
gen lambda = 0.4
gen double ve = invnormal(uniform())
gen double zeta = invnormal(uniform())
gen double tau = invnormal(uniform())
gen double x1=invnormal(uniform())
gen double x2=invnormal(uniform())
gen double x3=invnormal(uniform())
gen double x4=invnormal(uniform())
gen double selstar = 0.58 + 0.93*x1 + 0.45*x2 - 0.64*x3 + 0.6*x4 + ///
(ve + zeta)/sqrt(2)
gen sel = (selstar>0)
gen double ystar = 0.30*x1 + 0.11*x2 + ///
(lambda*ve + tau)/sqrt(1+lambda^2)
gen ordvar = 0
qui replace ordvar=1 if ystar>-0.40 & ystar<=0.17
qui replace ordvar=2 if ystar>0.17 & ystar<=0.45
qui replace ordvar=3 if ystar>0.45 & ystar<=0.80
qui replace ordvar=4 if ystar>0.80 & ystar<=1.25
qui replace ordvar=5 if ystar>1.25
replace ordvar=. if sel==0
ssm ordvar x1 x2, s(sel = x1 x2 x3 x4) q(16) adapt family(binom)
link(oprobit)

I am working with Stata 11.2. Does anyone know of an alternative command
to calculate an ordered probit model with sample selection?

Thanks!

Pamela Katic

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Katic, Pamela
(IWMI-Ghana)
Sent: Tuesday, July 05, 2011 7:51 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Error message when using SSM (ordered probit with sample
selection)

I'm trying to estimate an ordered probit model with sample selection.
I've only found one command in STATA that's able to do this: ssm. I
tried using it but I keep getting the error message r(2000), that is, no
observations on which to run the model. I checked the response variable
and the selection variable as well, but cannot find any mistakes. I ran
the ordered probit with no sample selection and it works fine, and so
does the probit selection model separately. Any guidance on this matter
will be greatly appreciated. Many thanks.

Cheers,

Dr. Pamela G Katic
International Water Management Institute Accra Office - GHANA

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