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Re: st: Quantile regression with sample selection


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile regression with sample selection
Date   Thu, 29 Mar 2012 19:00:39 +0100

Luciana answered this with some good detail, but not giving full
references -- just like you, Gustavo, in your original post.

The command  -sml- can be identified via -search- as a user-written
program that needs to be installed.

SJ-8-2  st0144  .  SNP and SML est. of uni- and bivariate binary-choice models
        (help sml, snp if installed)  . . . . . . . . . . . . . . . G. De Luca
        Q2/08   SJ 8(2):190--220
        provides semi-nonparametric and semiparametric maximum
        likelihood estimators for univariate and bivariate
        binary-choice models

Do you see how unnecessarily confusing it is when people don't give
full references?

Do you see how -search- can answer your own question?

Nick

On Thu, Mar 29, 2012 at 6:54 PM, Gustavo Palmeira
<gustavopalmeira@gmail.com> wrote:
> 2012/3/29, Gustavo Palmeira <gustavopalmeira@gmail.com>:
>> Is the command -sml- still implemented on version 10 or changed the name?
>
>
>
>>
>>> Hy Gustavo,
>>>
>>> There´s no module in Stata as far as I know to do that
>>> ,
>>> what I am doing to replicate Buchinsky´s method was  first estimate a
>>> single index ( semiparametric maximum likelihood estimator of Klein
>>> and Spady (1993)) using sml command in stata,
>>>
>>> then you have to calculate Mill´s ratio, and then incorporate this
>>> ratio on your quantile regression,
>>>
>>> **Mills ratio
>>>
>>> generate mills = normalden(index)/normal(index) if female
>>>
>>> replace  mills = -normalden(index)/1-normal(index) if male
>>>
>>> gen mills2=mills^2
>>>
>>> ***include the power series into the QR**
>>>
>>> qreg depvar indepvar  mills mills2 if female, q(0.1)
>>>
>>>
>>>
>>> Buchinksy suggest including power series of order two, but you can try
>>> with power series of order 3 and see whether the correction terms are
>>> significant.
>>> I hope this could help you,
>>>
>>> Luciana

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