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129 lines
2.9 KiB
Plaintext
129 lines
2.9 KiB
Plaintext
7 months ago
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*! version 1.0 Alfonso Miranda-Caso-Luengo, November 26 2002 (SJ4-1: st0057)
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*! FIML endogenous-switch Poisson Regression
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program define espoisson, eclass
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version 6
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if replay() {
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if "`e(cmd)'" != "espoisson" { error 301 }
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else espDisplay `0'
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}
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else espEstimate `0'
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end
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program define espEstimate, eclass
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syntax varlist [if] [in] , EDummy(varname) /*
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*/ [Switch(varlist) Quadrature(integer 6) /*
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*/ SIGMA0(real 1) RHO0(real 0.1) /*
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*/ EXS *]
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/* Obtaining dependent variable and explanatory variables */
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gettoken endgv exogv : varlist, parse("")
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/* Selecting sample */
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marksample touse
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markout `touse' `varlist'
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/* defining some globals */
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global S_quad "`quadrature'"
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global S_edum "`edummy'"
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/* Diverting to exsp if EXS option active */
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if "`exs'"!="" {
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#delimit ;
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exspoisson `endgv' `exogv' `if' `in', edummy(`edummy')
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s(`switch') q(`quadrature')
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sigma0(`sigma0') ;
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#delimit cr
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exit
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}
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/* Get points and weights for Gaussian-Hermite quadrature. */
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tempvar x w
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qui gen double `x' = 0
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qui gen double `w' = 0
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ghquad `x' `w', n(`quadrature')
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local j = `quadrature'
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while `j' >0 {
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scalar x`j' = `x'[`j']
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local j = `j' -1
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}
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local j = `quadrature'
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while `j' >0 {
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scalar w`j' = `w'[`j']
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local j = `j' - 1
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}
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/* GETTING INITIAL VALUES */
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di _skip(3)
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qui probit `edummy' `switch' if `touse'
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tempname b b1 b2 ch cr b0 bi
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mat `b'=e(b)
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xcolnames `b', head(switch)
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di as txt "Getting Initial Values:"
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qui poisson `endgv' `exogv' if `touse'
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mat `b1' = e(b)
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mat `b2' = (`b1',`b')
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matrix `ch' = ln(`sigma0')
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matrix colnames `ch' = lnsigma:_cons
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matrix `cr' = `rho0'
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matrix colnames `cr' = rho:_cons
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matrix `b0' = (`b2',`ch',`cr')
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ml model d0 espoisson_ll ("`endgv'": `endgv' = `exogv') /*
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*/ (switch:`switch')(lnsigma:)(rho:) /*
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*/ if `touse', init(`b0')
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qui ml search rho: 14 -14
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mat `cr' = ML_b[1,"rho:_cons"]
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mat `bi' = (`b2',`ch',`cr')
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/* FITTING FULL MODEL */
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di _skip(3)
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di in gr "Fitting Full model:"
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ml model d0 espoisson_ll ("`endgv'": `endgv' = `exogv') /*
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*/ (switch:`switch')(lnsigma:)(rho:)/*
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*/ if `touse', init(`bi', skip) max `options' search(off)
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estimates local cmd "espoisson"
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estimates local edummy "`edummy'"
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est local predict "espoisson_p"
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est local quad "`quadrature'"
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/* Display Results */
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espDisplay
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end
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program define espDisplay
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di _skip(12)
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di _n as txt /*
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*/ "Endogenous-Switch Poisson Regression"
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di as text "(`e(quad)' quadrature points)"
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ml di, neq(2)plus
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_diparm lnsigma, exp pr label("sigma")
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_diparm rho, f((exp(2*@)-1)/(exp(2*@)+1)) /*
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*/ d(4*exp(2*@)/(exp(2*@)+1)^2) label("rho") pr
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di in gre in smcl "{hline 13}{c BT}{hline 64}"
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end
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