I am mostly an R user. But since I have not found a way yet to reproduce generalised residuals in R (link), I am using Stata for my estimation.
The jist is as follows: I run an oprobit on my ordinal EEV, I get the generalised residual (apparently that is just one residual per observation, instead of on per level?). I add the residual with the EEV in the second stage. And finally I calculate the AME/APE.
ordinal_var is an ordinal variable with four levels
depvar is the dependent variable with values ranging between (and including) 0 and 1.
Code:
oprobit ordinal_var instrumentalvar1 instrumentalvar2 drop residual predict residual, score fracreg logit depvar i.ordinal_var residual, vce(robust) margins(ordinal_var)
Could anyone let me know if there is anything wrong with my code?
Code:
---------------------------------------------------------------------------------- | Delta-method | Margin Std. Err. z P>|z| [95% Conf. Interval] -----------------+---------------------------------------------------------------- ordinal_var| 0 | .8752151 .0098138 89.18 0.000 .8559803 .8944498 1 | .8434355 .0045137 186.86 0.000 .8345888 .8522822 2 | .8412551 .0091412 92.03 0.000 .8233386 .8591716 3 | .8268829 .0203199 40.69 0.000 .7870567 .8667091 ----------------------------------------------------------------------------------
References:
Chiburis, R., & Lokshin, M. (2007). Maximum Likelihood and Two-Step Estimation of an Ordered-Probit Selection Model. The Stata Journal, 7(2), 167–182. https://doi.org/10.1177/1536867X0700700202
Terza J. V, Basu A., Rathouz, P.J. (2008) Two-stage residual inclusion estimation: addressing endogeneity in health econometric modeling. Journal of health economics 27 (3), 531-543, 2008
Vella, F. (1993). A Simple Estimator for Simultaneous Models with Censored Endogenous Regressors. International Economic Review, 34(2), 441-457. doi:10.2307/2526924
Wooldridge,JM. (2014) Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables. Journal of Econometrics Volume 182, Issue 1, September 2014, Pages 226-234
0 Response to Is this the correct Stata syntax for CF/2SRI with an ordinal probit in the first stage?
Post a Comment