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From |
Kristian Karlson <kristian.karlson@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Random thresholds in ordered logit/probit in -gllamm- |

Date |
Sun, 28 Nov 2010 11:24:29 +0100 |

Best, Kristian Den 27-11-2010 23:57, Stas Kolenikov skrev:

I guess you would do that with -thresh()- or -ethresh()- option, but -gllamm- only allows to use observed variables rather than random effects. There are good reasons for that: the thresholds are collinear with the constant (and when you estimate a model with the thresholds, you cannot estimate the constant term; so if you try to get random thresholds, you'd have to forego the random intercepts, as well). I would imagine that without additional strong identification conditions, the model would just fall apart if you had random thresholds in the model. I think the paper you mentioned describes essentially a -gllamm, thresh()- model with a single random effect which essentially shifts all thresholds together for a given individual (although you would need to have repeated measurements for an individual to identify it). The author may have re-written it in Mata to speed it up, but I don't see anything in the abstract that goes beyond -gllamm-, frankly. On Sat, Nov 27, 2010 at 3:17 AM, Kristian Karlson <kristian.karlson@gmail.com> wrote:Hi, I want to estimate an ordered probit/logit model with random thresholds. That is, the thresholds should vary across individuals. I have tried using -gllamm-, but I fail to see how I must specify -gllamm- in order for the thresholds to be random. I am specifically interested in this heterogeneity. Can anyone help me on that? In passing, I note that I came across a paper dealing with these issues, http://econpapers.repec.org/paper/bocisug08/02.htm, but I can't identify which command the paper refers to. Best wishes, Kristian * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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**Follow-Ups**:**Re: st: Random thresholds in ordered logit/probit in -gllamm-***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**References**:**st: Random thresholds in ordered logit/probit in -gllamm-***From:*Kristian Karlson <kristian.karlson@gmail.com>

**Re: st: Random thresholds in ordered logit/probit in -gllamm-***From:*Stas Kolenikov <skolenik@gmail.com>

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