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Re: st: oprobit with cutpoints as function of covariates


From   "Stas Kolenikov" <[email protected]>
To   [email protected]
Subject   Re: st: oprobit with cutpoints as function of covariates
Date   Tue, 10 Apr 2007 22:31:55 -0500

you will have identification problems unless the sets of x and z do
not overlap at all -- and constants would have to be excluded from all
but one of them, too.

On 4/10/07, [email protected] <[email protected]> wrote:
Dear All,

I am trying to estimate an ordered probit with the cutpoints as function of a
subset of covariates.

Assuming that sigma is one for easy notation, instead of estimating the standard
probability for outcome j given by:
(1) Pr(y=j) = Phi(c_j-xb) - Phi(c_{j-1}-xb)

I want to model c_j=f_j(z), where z is a subset of X:
(2) Pr(y=j) = Phi(f(z)-xb) - Phi(f_{j-1}(z)-xb)

where f(z) could be modelled, for example, as: c_j=c_{j-1}+b*z, so the cut
points are funtions of z and have as contant the previous one. I almost sure I
cannot do that with the command oprobit, so I've been trying to use goprobit
and gllamm. However, I am not 100% confident that using either of these two
commands would do what I want to. My questions are:
a) Can I use glamm or goprobit to estimate equation (2)?
b) Is it any possibility that changing the ado file of oprobit could estimate
equation (2) or shall I program a new Maximum likelihood? In this case, does
anybody have any ML program for oprobit in which I can base to extent it?
c) Did anybody come across to same problem?

Thank you very much for your help.

Any adivice would really welcome.

Marcos.

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--
Stas Kolenikov
http://stas.kolenikov.name
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