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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Normalization of (standard deviation of) errors in mvprobit |

Date |
Tue, 29 Nov 2011 09:31:42 +0100 |

On Mon, Nov 28, 2011 at 8:37 PM, saqlain raza wrote: > Does there exist any command in Stata under -mvprobit- for normalization of (standard deviation of) errors? -mvprobit- is a user written command, so per the Statalist FAQ you _must_ say where you got this from. I know several of us have been pushing you again and again to read the FAQ, and it may feel we are mean to you, but this is really in your own interest: The FAQ contains advise on how to ask question that can be answered. For example, the reason for requiring you to say where you got your version of user written software from is that there are usually multiple version floating around in cyber space, and it obviously helps if we are talking about the same version. So I ask you again to please read the FAQ. A link to the FAQ can be found at the bottom of this (and any other) post. There is no need to normalize, as the results are already normalized such that the standard deviation of the errors all equal 1. The fact that Stata (or any other piece of software) gives you a result is evidence that normalization has taken place, as the model is not identified without it. Than it should be in the documentation of your piece of software how the normalization was done. In case of -mvprobit- this is done in the Stata Journal article that introduces this program (Cappellari and Jenkins 2003). On page 279 it says: "e_{im}, m = 1, . . . ,M are error terms distributed as multivariate normal, each with a mean of zero, and variance-covariance matrix V , where V has values of 1 on the leading diagonal and correlations rho_{jk} = rho_{kj} as off-diagonal elements." e_{im} are the error terms, the leading diagonal of the variance-covariance matrix contains the variances, and if the variances are constrained to be 1 than the standard deviations are also 1, as sqrt(1)=1. -- Maarten L. Cappellari and S.P. Jenkins (2003) "Multivariate probit regression using simulated maximum likelihood" The Stata Journal, 3(3): 278-294. <http://www.stata-journal.com/article.html?article=st0045> -------------------------- 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: Normalization of (standard deviation of) errors in mvprobit***From:*saqlain raza <bhatti_sb@yahoo.com>

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