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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Heckman model with gllamm and ordinal/multinomial response |

Date |
Thu, 10 Nov 2011 10:14:30 -0500 |

Paul Silcocks asked about tweaking -gllamm- to work with a Heckman-type model... well, what matters is that he has several equations in -gllamm- that relate to different response variables: On Thu, Nov 10, 2011 at 7:53 AM, Silcocks, Paul wrote: > > Hi - I'm trying to run a Heckman selection type of model where the response variable may be ordinal (or even multinomial, though I've not got that far yet). As a test data set I've used the data set womenwk as in the example given by Sophia Rabe-Hesketh "Multilevel selection models using gllamm" Stata User Group Meeting, Maastricht, May 2002 - but converting wage into 4 ordered categories. > > The problem is that the syntax for the linear predictor in the example specifies "no constant" (as I understand it, this is because the intercepts are already specified by the command eq load: i1 i2. However the ordinal logit model for the response (and I assume the multinomial one too) will not permit a "no constant" option. The original motivation for specifying -noconst- option must have been that the intercepts of separate equations are specified via dummies. So if -i1- and -i2- are the dummies corresponding to the two equations of the model, then they will act as the intercepts of these equations when they are entered into the linear predictor part (between the response variable and the options in -gllamm- syntax). The -eq()- option relates to the random effects/latent variables rather than the linear predictor: it says that the random effect enters both equations, that's all. In ordinal models (depending on the specification, of course), the intercept is excessive to begin with if you are estimating all the thresholds. So you need to figure out which equations need the intercepts, enter these intercepts as dummies of these equations in the linear predictor part, and still specify the -noconstant- option, as the overall constant is meaningless in this situation. -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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: Heckman model with gllamm and ordinal/multinomial response***From:*"Silcocks, Paul" <Paul.Silcocks@liverpool.ac.uk>

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