dc09_roodman.ppt-Stata.pptVIP

* * * * * * * * * * * * Estimating fully observed recursive mixed-process models with cmp David Roodman Probit model: Link function (g) induces likelihoods for each possible outcome y=g(y*)=1{y*0} Relabeling left graph for ε scale: “error link” function (h) induces likelihoods for each possible outcome y=h(ε)=1{ε–xiβ} (h(ε)=g(xβ +ε)) Tobit (censored) Ordered probit Just change g() to get new models With generalization, embraces multinomial and rank-ordered probit, truncated regression… Given yi, determine feasible value(s) for ε If just one, Li = normal density at that point If a range, Li = cumulative density over range For models that censor some observations (Tobit), L=Π Li combines cumulative and point densities. Amemiya (1973): maximizing L is consistent Compute likelihood same way Multiple equations (SUR) For each obs, likelihood reached as before Given y, determine feasible set for ε and integrate normal density over it Feasible set can be point, ray, square, half plane… Cartesian product of points, line segments, rays, lines. Bivariate probit Suppose for obs i, yi1= yi2=0 Feasible range for ε is: Integral of fε(ε)=φ(ε;Σ) over this: Can use built-in binormal(). Similar for y=(0,1)′, (1,0)′, (1,1)′. Mixed uncensored-probit Suppose for obs i, we observe some y=(yi1, 0)′ Feasible range for ε is a ray: Integral of fε(ε)=φ(ε;Σ) over this: Integral of 2-D normal distribution over a ray. Hard with built-in functions Requires additional math Conditional modeling—“c” in cmp Model can vary by observation—depend on data Worker retraining evaluation Model employment for all subjects Model program uptake only for those in cities where offered Classical Heckman selection modeling Model selection (probit) for every observation Model outcome (linear) for complete observations Likelihood for incomplete obs is one-equation probit Likelihood for complete obs is that on previous slide Myriad possibilities Recursive systems y’s can appear on RHS in each other’s equatio