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st: numerical integration by INTEG

From   Cecilia Frale <>
Subject   st: numerical integration by INTEG
Date   Mon, 23 Jan 2006 18:47:32 +0100

Dear Statalisters,
here my problem, any suggestions are welcome.

Let jit, (jit = 1, 2, 3), denote the survey response of firm i at time t.
Suppose you are using a latent regression: yjit = 1 if µ(j-1)i < yit* < µji and
0 otherwise (j = 1, 2, 3), to deal with the categorical nature of data (we
observe yjit instead of y*it ).

Now consider that responses are related to a variable xt according to the
conditional linear model yit = ái + âi xit  where ái and âi are firm-specific
time-invariant coefficients.

I used a firm specific ordered probit model to estimate P(j|xt, i) , j = (1, 2,

Let f(xt) denote the time-invariant density function of xt. Therefore, the
conditional probability of observing response j for firm i is P(j|i) = I(-inf,
+inf)P(j|xt, i)f(xt)dxt , where I(-inf, +inf) is the integral over R.

How can I calculate this integral using the INTEG Stata command?


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