Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Fixed effects ordinal probit regression

From   Mark Schaffer <>
Subject   Re: st: Fixed effects ordinal probit regression
Date   Fri, 05 Sep 2003 09:46:10 +0100 (BST)


Quoting Joseph Coveney <>:

> James Shaw wrote:
> > I was wondering if there is such a thing as fixed effects ordinal
> probit
> > regression.  If so, could one simply add dummy variables for the
> panel
> > indicator (e.g., subject id) to the ordinal probit model to obtain
> fixed
> > effects estimates?  Also, when estimating a fixed effects
> regression model
> > with a subject-level effect, how problematic is it if there are
> missing
> > observations on the dependent variable for some subjects (i.e.,
> unbalanced
> > panels)?
> -------------------------------------------------------------------------
> By analogy to -areg , absorb()-, it seems feasible to create dummy
> (indicator) variables for the panel identifier with -oprobit-, but
> doing
> this in an ordered categorical regression risks having "note: [X]
> observations completely determined.  Standard errors questionable."
> at the
> bottom of the -oprobit- output.  This would raise suspicions about
> Wald
> tests, although in a test case that I tried out where this happens
> (see
> do-file below), the Wald test agrees well with the corresponding
> likelihood
> ratio test.  If panels are dropped due to collinearity in fitting
> the full
> model, then likelihood-ratio testing with the reduced (nested)
> models is
> problematic unless the same panels are fortuitously dropped in the
> latter.
> When observations are missing, handling the panel as a fixed effect
> seems to
> be mechanically possible--in the test case, -oprobit- attained
> convergence
> and didn't seem to drop any panels with a missing value--but it
> might be
> worthwhile to perform Monte Carlo simulations in order to determine
> whether
> hypothesis testing and parameter estimates behave as expected in
> such a
> circumstance before using -oprobit- on an unknown dataset with
> missing
> observations.
> -oprobit , cluster()- might serve as an alternative in some
> circumstances.
> With enough panels, another alternative would be to consider the
> panel as a
> random effect, and use -reoprob- or -gllamm-.
> Joseph Coveney

There's another issue here as well, which is that a fixed effects ordered 
probit may not be consistent.

In a posting to the list back in June, Eduardo Nakasone quoted from the 
Stata manual:

"There is no command for a conditional probit fixed-effects model, as 
there does not exist a sufficient statistic allowing the fixed effects to 
be conditioned out of the likelihood. Unconditional fixed-effects probit 
models may be estimated with the probit command with indicator variables 
for the panels... However, unconditional fixed fixed-effect estimates are 

I haven't checked up on this, but I have strong suspicion that if a fixed 
effects probit is not consistent, then a fixed effects ordered probit 
won't be consistent either.


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008


This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
*   For searches and help try:

© Copyright 1996–2022 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index