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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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