Search results for " snp2"

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SNP and SML estimation of univariate and bivariate binary–choice models

2008

We discuss the semi-nonparametric approach of Gallant and Nychka (1987, Econometrica 55: 363–390), the semiparametric maximum likelihood approach of Klein and Spady (1993, Econometrica 61: 387–421), and a set of new Stata commands for semiparametric estimation of three binary-choice models. The first is a univariate model, while the second and the third are bivariate models without and with sample selection, respectively. The proposed estimators are root-n consistent and asymptotically normal for the model parameters of interest under weak assumptions on the distribution of the underlying error terms. Our Monte Carlo simulations suggest that the efficiency losses of the semi-nonparametric a…

st0000 snp snp2 snp2s sml sml2s binary-choice models seminonparametric approach SNP estimation semiparametric maximum likelihood SML estimation Monte Carlo simulationSettore SECS-P/05 - EconometriaSettore SECS-P/01 - Economia Politica
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Estimation of ordered response models with sample selection

2011

We introduce two new Stata commands for the estimation of an ordered response model with sample selection. The opsel command uses a standard maximum-likelihood approach to fit a parametric specification of the model where errors are assumed to follow a bivariate Gaussian distribution. The snpopsel command uses the semi-nonparametric approach of Gallant and Nychka (1987, Econometrica 55: 363–390) to fit a semiparametric specification of the model where the bivariate density function of the errors is approximated by a Hermite polynomial expansion. The snpopsel command extends the set of Stata routines for semi-nonparametric estimation of discrete response models. Compared to the other semi-n…

EstimationSample selectionHermite polynomialsResponse modelComputer scienceEstimatorSettore SECS-P/05 - EconometriaProbability density functionBivariate analysisst0226 opsel opsel postestimation sneop sneop postestimation snp2 snp2 postestimation snp2s snp2s postestimation snpopsel snpopsel postestimation snp snp postestimation ordered response models sample selection parametric maximum-likelihood estimation semi-nonparametric estimationSet (abstract data type)Mathematics (miscellaneous)StatisticsSettore SECS-P/01 - Economia PoliticaAlgorithmMathematicsParametric statistics
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