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st: ordered probit

From   "Monica Ospina" <[email protected]>
To   <[email protected]>
Subject   st: ordered probit
Date   Tue, 05 Jul 2005 22:52:55 -0400

Thanks for your answers. I will be more explicit: I am are using "matched" data (nearest-neighbor matching based on propensity scores) and thus the standard errors (and test statistics) for Stata's oprobit coefficients are incorrect because oprobit's variance formula ignores the additional variance that arises from multiple matches to the same unit (i.e., the matching process itself adds variability to the sample that must be incorporated into the var-cov estimate).  I therefore use a variance formula supplied by Abadie and Imbens (2004), but I do not know how to incorporate this adjusted variance estimate for the sample into an ordered probit calculation.  If I were doing OLS, I would just calculate the standard errors by inserting the adjusted variance estimate into the standard formula, but I am unsure how I can use our variance estimate to generate the standard errors of the ordered probit coefficient estimators.


Monica OSpina

Monica Ospina
Andrew Young School of Policy Studies
Georgia State University
Atlanta, GA  30302-3992
[email protected]

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