Re: st: RE: fractional probit

[Arina Viseth <arina@UDel.Edu>]

Dear Martin, Austin,

Thank you very much for your answers and comments. How should I then apply fmlogit when one explanatory variable is endogeneous - Could you please help?

Thank you very much again,

Arina

---- Original message ----
>Date: Thu, 26 Aug 2010 10:59:33 -0400
>From: owner-statalist@hsphsun2.harvard.edu (on behalf of Austin Nichols <austinnichols@gmail.com>)
>Subject: Re: st: RE: fractional probit  
>To: statalist@hsphsun2.harvard.edu
>
>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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