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Re: st: ordered probit with sample selection |

Date |
Sat, 26 Apr 2008 11:13:59 +0200 |

Late 2-cents opinion: I am not good enough to look at your code and tell you what's wrong - if any!!! Let me recap: you have probit at first stage and ordered probit at second stage. What about downloading -ssm- from SSC? -ssm- is a wrapper for -gllamm- to estimate Endogenous-Switch & Sample Selection Count, Binary & Ordinal Response Regression by maximum likelihood using adaptive quadrature (one equation estimates the likelihood of being selected or observed using a probit specification, while in the second stage a GLM is run). Please note that the command may require much time to converge. Warning: I didn't set Statalist-disturbing automatic replies. Thus please note in advance that I will be offline for the next 8 days at least, and thus unable to continue this discussion for a while. Nicola At 02.33 22/04/2008 -0400, "Dario Pozzoli" wrote: >Dear all, > >I m trying to estimate the likelihood function of the ordered probit >model with sample selection. > >In the first step I have the participation equation in the second I >have sector choice (agriculture, formal, informal). The exclusion >restriction is non labour income. > >I think there is a mistake in my code because after ml maximize the >likelihood function is not concave, even though the model is very >simple. > >Here it is my code. Could you help in finding the mistake? > >capture program drop myll >program define myll > version 6.0 > args lnf I1 I2 rho m1 m2 > > quietly replace `lnf' = ln(normprob(-`I1')) if $ML_y1==0 > quietly replace `lnf' = ln(binorm(`m1'-`I2',`I1', `rho' )) if >$ML_y1==1 & $ML_y2==1 > quietly replace `lnf' = ln(binorm(`m2'-`I2', `I1',`rho')- /* > */ binorm(`m1'-`I2', `I1', `rho')) if $ML_y1==1 & $ML_y2==2 > quietly replace `lnf' = ln(1- binorm(`m2'-`I2', `I1',`rho')) if >$ML_y1==1 & $ML_y2==3 > >end > > >ml model lf myll (participation: participation=$cntrlp) (choice4: >choice4 =$cntrlc, nocons) /rho /m1 /m2 > >ml init b >ml maximize, difficult * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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