Hi Xinyi,
I think you would be better off using Mata in this case, as Stas
suggests. What makes things more complicated in your model compared to
the examples in my paper is that the predicted values from the first
stage model depend on the auxiliary parameters/ cut-off points along
with the index function which makes it difficult to express the C
matrix in -matrix accum- terms. It may be possible to do it but
calculating the scores for each variable in Mata seems to me to be an
easier solution in this case. Mata's element-by-element multiplication
operator :* will be helpful.
I agree with Stas that the ordered probit in the first stage seems a
little odd but of course I don't know anything about your application.
Good luck!
Arne
On 17/01/07, Stas Kolenikov <[email protected]> wrote:
Check Hardin's article first, he gives a general treatment and shows
why the trick with -mat accum- is usable. You would have to take the
derivatives with respect to the first stage parameters properly, and
don't forget about the -oprobit- thresholds, too. If you are lucky,
you will just have a more complicated expression for the [iweight=]
with both zz1 and zz2 that would be offset by the difference in
thresholds somehow, but it may happen that what you'd get won't be
expressable in -mat accum- terms, and you would have to program that
in Mata using -st_view()-s (which tends to be more elegant anyways).
I personally don't think the first stage -oprobit- is a very good
idea... but I am not your advisor/reviewer, anyway :)).
On 1/17/07, X W <[email protected]> wrote:
> I am having some trouble figuring out how to extend
> the Murphy-Topel correction for standard errors in a
> two-step model with an ordered probit in the first
> stage and a logit in the second stage.
--
Stas Kolenikov
http://stas.kolenikov.name
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