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105 lines
2.3 KiB
Plaintext
105 lines
2.3 KiB
Plaintext
9 months ago
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*! Alfonso Miranda-Caso-Luengo (SJ4-1: st0057)
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*! FIML exogenous sitching Poisson
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*! version 2.0 June 26 2003
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program define exspoisson, eclass
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version 6
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if replay() {
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if "`e(cmd)'" != "exspoisson" { error 301 }
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else exspDisplay `0'
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}
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else exsEstimate `0'
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end
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program define exsEstimate, 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) *]
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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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/* 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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/* 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 bi ch
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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 `bi' = (`b2',`ch')
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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 exspoisson_ll ("`endgv'": `endgv' = `exogv') /*
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*/ (switch:`switch')(lnsigma:) /*
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*/ if `touse', init(`bi', skip) max difficult search(off) `options'
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estimates local cmd "exspoisson"
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est local predict "exspoisson_p"
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est local quad "`quadrature'"
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/* Display Results */
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exspDisplay
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end
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program define exspDisplay
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di _skip(12)
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di _n as txt /*
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*/ "Exogenous-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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di in gre in smcl "{hline 13}{c BT}{hline 64}"
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end
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exit
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