Eric,
Quoting Eric Neumayer <[email protected]>:
> Hi,
>
> the statistic for computing an ordered logit/probit model with fixed
> effects
> is extremely complex, which is why Stata has no routine such as
> xtoprobit or
> xtologit, right? So, how would one interpret the results if someone
> were to
> introduce country dummies in an oprobit model to estimate the
> following?
>
> xi: oprobit y x i.country
>
This came up on Statalist about a year ago, and generated a thread which
included a very informative response from Bill Gould, Vince Wiggins and
David Drukker:
http://www.stata.com/statalist/archive/2003-09/msg00103.html
The bottom line is that the estimator isn't consistent, and if you use it
you'll probably get "awful" results. As others in the thread pointed out,
the most appealing alternative is probably random effects ordered probit
using -reoprob- or -gllamm-.
Cheers,
Mark
> Thanks for any suggestions. Eric Neumayer
>
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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