Re: st: RE: fractional probit

[Austin Nichols <austinnichols@gmail.com>]

Martin Weiss <martin.weiss1@gmx.de>:

Or Maarten, really:  I think I understand what -fmlogit- is doing now, and
the description as given is a lot better than my reading of it.

I guess it would be hard to extend this approach to a panel setting
esp. with IV ;
in such cases one seems to be stuck estimating L-1 equations using
Wooldridge's approach separately for all but one of the proportions.

On Thu, Aug 26, 2010 at 10:39 AM, Austin Nichols
<austinnichols@gmail.com> wrote:
> Martin Weiss <martin.weiss1@gmx.de>:
>
> That says
> "fractional multinomial logit model"
> which is not the same thing--
> also I do not understand
> "It is a
>      multivariate generalization of the fractional logit model"
> --is that supposed to read:
> "It is a generalization of the fractional logit model
> for polychotomous outcome variables" or somesuch?
>
>
> On Thu, Aug 26, 2010 at 3:09 AM, Martin Weiss <martin.weiss1@gmx.de> wrote:
>>
>> <>
>>
>>
>> Maarten has published a command for fractional logit at -ssc d fmlogit-...
>>
>>
>> HTH
>> Martin
>>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Arina Viseth
>> Sent: Donnerstag, 26. August 2010 03:44
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: fractional probit
>>
>> Dear Statalist,
>>
>> I am currently trying to apply the fractional probit model,  as in Papke and
>> Wooldridge (2008).
>> http://pages.stern.nyu.edu/~wgreene/Econometrics/Papke-Wooldridge-Fractional
>> Response.pdf
>>
>> My understanding is that, in order to control for unobserved heterogeneity,
>> time average of the independent variables are added to the regression, such
>> as for example:
>>
>> Yit = X1it + X2it + X3it + Cit + timeaverageof X1 + timeaverageof X2
>>
>> with
>> Y dependent variable
>> X1 and X2 endogenous independent variables
>> X3 exogenous independent variable
>> C vector of dummy variables
>>
>> I am looking for the STATA command for the fractional probit, is it the
>> following: glm y x1 x2 c ex1 ex2, family(binomial) link(probit) robust?
>> (with ex1 time average of X1, and ex2, time average of X2)
>>
>> Your comments will be very much appreciated. In advance, thank you very much
>> for your kind help.
>>
>> Arina
>

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