Dear Colleagues,
I am using gllamm to estimate a RE probit and saving the estimated residuals for further analysis. I understand this gives an estimate of the individual specific unobservable. Reading through the manual and also Harvey Goldstein's book, I worked out that the residual mean that is used in the calculation of the individual heterogeneity term is calculated as y(i,j)-(xb)ij. This is the value that gets multiplied by the shrinkage factor.
Could someone please tell me how this term is calculated when the dependent variable is discrete taking values of 0 or 1. I have just tried to check this manually with the towerl.dta data supplied with gllamm but it does not give me the same answer. So I guess they must be calculating using a different formula in the discrete case.
Many thanks for your help.
best
wiji
=================================
Professor Wiji Arulampalam,
Department of Economics,
University of Warwick,
Coventry,
CV4 7AL,
UK.
Tel: +44 (24) 7652 3471
Sec. Tel: +44 (24) 7652 3202
Fax: +44 (24) 7652 3032
email: [email protected]
http://www.warwick.ac.uk/fac/soc/economics/staff/faculty/arulampalam/
RES2003: http://www.warwick.ac.uk/res2003/
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