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96 lines
2.8 KiB
Plaintext
96 lines
2.8 KiB
Plaintext
.-
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help for ^reoprob^ (STB-59: sg158; STB-61: sg158.1)
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.-
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Random-effects ordered probit
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-----------------------------
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^reoprob^ depvar varlist [^if^ exp] [^in^ range] ^,^
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[ ^i(^varname^)^ ^q^uadrat^(^#^)^ ^l^evel^(^#^)^ maximize_options ]
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This command shares the features of all estimation commands; see help @est@.
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To reset problem-size limits, see help @matsize@.
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Description
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-----------
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^reoprob^ estimates a random-effects ordered probit model for panel datasets
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using maximum likelihood estimation. The likelihood for each unit is
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approximated by Gauss-Hermite quadrature.
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Options
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-------
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^i(^varname^)^ specifies the variable corresponding to an independent unit
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(e.g., a subject id). ^i(^varname^)^ is not optional.
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^quadrat(^#^)^ specifies the number of points to use for Gaussian-Hermite
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quadrature. It is optional, and the default is 12. Increasing this value
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improves accuracy, but also increases computation time. Computation time
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is roughly proportional to its value.
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^level(^#^)^ specifies the confidence level, in percent, for confidence
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intervals. The default is ^level(95)^ or as set by ^set level^.
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maximize_options controls the maximization process and the display of
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information; see [R] maximize. ^nolog^ suppresses the display of the
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likelihood iterations. Use the ^trace^ option to view parameter
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convergence. The ^ltol(^#^)^ and ^tol(^#^)^ option can be used to loosen
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the convergence criterion (respectively 1e-7 and 1e-6 by default) during
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specification searches. ^iter(^#^)^ specifies the maximum number of
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iterations.
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Examples
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--------
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. ^reoprob y x, i(id)^
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. ^reoprob y x^
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. ^reoprob y x, i(id) quad(24) nolog^
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. ^reoprob y x, i(id) trace^
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. ^reoprob^
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Method
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------
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^reoprob^ uses the d1 method (analytic first derviatives) of Stata's ^ml^
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commands. See Butler and Moffitt (1982) for details about using Gauss-Hermite
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quadrature to approximate such integrals. Also see Green (2000) for
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information on how to estimate a basic ordered probit model.
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Author
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------
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Guillaume R. Frechette
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Ohio State University
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Department of Economics
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410 Arps Hall
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1945 North High Street
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Columbus, OH 43210-1172
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Tel: (614) 688-4140
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Fax: (614) 292-4192
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e-mail: frechette.6@@osu.edu
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http://www.econ.ohio-state.edu/frechette/
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Reference
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---------
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Butler, J.S. and R. Moffitt. 1982. A computationally efficient
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quadrature procedure for the one-factor multinomial probit model.
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Econometrica 50: 761-764.
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Green, W. H. 2000. Econometric Analysis. Prentice Hall, New Jersey.
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pp. 875-878.
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Also see
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--------
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Manual: ^[R] xt, [R] xtprobit, [R] maximize, [R] oprobit^
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On-line: help for @xt@, @xtreg@
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