1
$\begingroup$

I am mostly an R user. But since I have not found a way yet to reproduce generalised residuals in R (link), I am using Stata for my estimation of a CF/2SRI (references below). The jist is as follows: I run an oprobit on my ordinal EEV, I get the generalised residual (apparently that is just one residual per observation, instead of on per level?). I add the residual with the EEV in the second stage, which I estimate with fracreg. And finally I calculate the AME/APE.

Am I correctly implementing this?

ordinal_var is an ordinal variable with four levels

depvar is the dependent variable with values ranging between (and including) 0 and 1.

// ordinal probit regression
 oprobit ordinal_var instrumentalvar1 instrumentalvar2      

// to able to re-run the code
 drop residual                                 
         
 // Generalised Residual (Vella, 1993)
 predict residual, score
 
 // Because dep var is ration between and including 0 - 1                               
 fracreg logit depvar i.ordinal_var residual, vce(robust)

 // Because I am interested in the marginal effects.   
 margins, dy/dx(i.ordinal_var)                                       

Outcome:

----------------------------------------------------------------------------------
                 |            Delta-method
                 |      dy/dx   Std. Err.      z    P>|z|     [95% Conf. Interval]
-----------------+----------------------------------------------------------------
ordinal_var      |
              1  |  -.0707792   .0093849    -7.54   0.000    -.0891732   -.0523851
              2  |  -.1159215   .0162036    -7.15   0.000    -.1476799   -.0841631
              3  |   -.175346   .0289114    -6.06   0.000    -.2320114   -.1186807
----------------------------------------------------------------------------------

References

Chiburis, R., & Lokshin, M. (2007). Maximum Likelihood and Two-Step Estimation of an Ordered-Probit Selection Model. The Stata Journal, 7(2), 167–182. https://doi.org/10.1177/1536867X0700700202

Terza J. V, Basu A., Rathouz, P.J. (2008) Two-stage residual inclusion estimation: addressing endogeneity in health econometric modeling. Journal of health economics 27 (3), 531-543, 2008

Vella, F. (1993). A Simple Estimator for Simultaneous Models with Censored Endogenous Regressors. International Economic Review, 34(2), 441-457. doi:10.2307/2526924

Wooldridge,JM. (2014) Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables. Journal of Econometrics Volume 182, Issue 1, September 2014, Pages 226-234

$\endgroup$

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.