Maximum likelihood estimation of endogenous switching and sample selection models for binary, ordinal, and count variables

Alfonso Miranda and Sophia Rabe-Hesketh

Stata Journal, 2006, vol. 6, issue 3, 285-308

Abstract: Studying behavior in economics, sociology, and statistics often involves fitting models in which the response variable depends on a dummy variable- also known as a regime-switch variable- or in which the response variable is observed only if a particular selection condition is met. In either case, standard regression techniques deliver inconsistent estimators if unobserved factors that affect the re- sponse are correlated with unobserved factors that affect the switching or selection variable. Consistent estimators can be obtained by maximum likelihood estimation of a joint model of the outcome and switching or selection variable. This article describes a “wrapper” program, ssm, that calls gllamm (Rabe-Hesketh, Skrondal, and Pickles, GLLAMM Manual [University of California – Berkeley, Division of Bio- statistics, Working Paper Series, Paper No. 160]) to fit such models. The wrapper accepts data in a simple structure, has a straightforward syntax, and reports out- put that is easily interpretable. One important feature of ssm is that the log likelihood can be evaluated using adaptive quadrature (Rabe-Hesketh, Skrondal, and Pickles, Stata Journal 2: 1–21; Journal of Econometrics 128: 301–323). Copyright 2006 by StataCorp LP.

Keywords: endogenous switching; sample selection; binary variable; count data; ordinal variable; probit; Poisson regression; adaptive quadrature; gllamm; wrapper; ssm (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (148)

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0107
http://www.stata-journal.com/software/sj6-3/st0107/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:6:y:2006:i:3:p:208-308

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().