Alsion,
I believe their is an FAQ about IMR on Stata's website. Specifically,
http://www.stata.com/support/faqs/stat/invmills.html and
http://www.stata.com/support/faqs/stat/bias.html.
Best,
Jon Wainwright
NERA, Inc.
--
> From: Alison Wong <[email protected]>
> Reply-To: [email protected]
> Date: Fri, 13 Sep 2002 11:33:50 -0600
> To: [email protected]
> Subject: Re: st: RE: Cumulative Distribution Function
>
> Hi:
> Here is more information about my problem. In a block sense, I am
> trying to calculate the Inverse Mill Ratio (IMR) to be use to calculate
> some form of generalized residual. I read this method from Francis
> Vella's article:
>
> "A Simple Estimator for Simultaneous Models with Censored Regressors",
> International Economic Review, Volume 34, Issue 2 (May, 1993), 441-457.
>
> In his article he suggested if you have a censored endogenous variable
> in a simultaneous equation system, than you could use a two step
> procedure (similar to the one Heckman presents) to get consistent
> estimates. The first step is to regress the reduced form of the
> censored endogenous variable using tobit. By that you should get
> estimates of coefficients (beta) and standard errors (sigma), then you
> could use these estimates to calculate the generalized residuals. The
> problem is in his generalized residual equation, he has the cumulative
> distribution function (cdf) and probability density function (pdf) in it
> and presented in the form similar to the Inverse Mill Ratio. This is the
> part that I can't figure out how to calculate, because I can't find
> anything in Stata that would calculate the Inverse Mill Ratio, of
> course, it calculate the IMR in the two step Heckman command but I don't
> want to use the Heckman command, so is there any other ways to obtain
> the IMR?
>
> I hope I provide enough information this time. If anyone is interested
> in this paper pls. let me know and I could send you a copy of this
> paper. I would really appreciate if anyone who had read this article to
> tell me how to calculate the generalized residuals using Stata.
>
> Thank you!
>
> Alison
>
>
> FEIVESON, ALAN H. (AL) (JSC-SD) (NASA) wrote:
>
>> Alison -
>>
>> I'm afraid your question is not specific enough. What model are you running
>> to get estimates of your coefficients? What random variable do you want to
>> get the cdf and/or pdf for? What distribution does it have under the assumed
>> model? Do you want to evaluate this cdf/pdf as a function prescribed by your
>> model over a range of values, or do you want to compute an empirical cdf or
>> pdf from data?
>>
>>
>> Al Feiveson
>>
>>
>> -----Original Message-----
>> From: Alison Wong [mailto:[email protected]]
>> Sent: Thursday, September 12, 2002 12:01 PM
>> To: [email protected]
>> Subject: st: Cumulative Distribution Function
>>
>>
>> Hi:
>>
>> I have a problem of getting the cumulative distribution function (cdf)
>> and probability density function (pdf). In particular I need to get the
>> cdf and pdf evaluated at the estimated coefficients (beta) and standard
>> errors (sigma). I realize there are the "cumul" & "kdensity" command in
>> stata, but those only allows a single variable, but I have more than one
>> variable.
>>
>> Does anyone have a better idea of how to get cdf or pdf?
>>
>> Thanks.
>>
>> Alison Wong
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/support/faqs/res/findit.html
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>> *
>> * For searches and help try:
>> * http://www.stata.com/support/faqs/res/findit.html
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
