Thursday, March 09, 2006

st: Klein-Spady semi-parametric estimator

Hi,

Has anyone ever programmed the Klein-Spady semiparametric estimator? I have tried to do so by creating my own ml program and including a kernel function; the ml passes all tests but when maximizing the likelihood function it shows "(non-concave)". Any ideas how to proceed now?

Reference: Klein, R. & R.Spady (1993) "An efficient semiparametric estimator for discrete choice models", Econometrica, 61, 387-421. Or: Green (2000: p.847) for the likelihood function.

Here is my code:

program klein_spady_lf

version 9.1 args lnf xb quietly { tempvar number_yes number_no tmp1 tmp2 Gn

summarize $ML_y1, meanonly gen double `number_yes' = r(mean) gen `number_no' = 1 - `number_yes' kdensity `xb' if $ML_y1==1, nogr gaussian width(.5) gen(`tmp1') at(`xb') kdensity `xb' if $ML_y1==0, nogr gaussian width(.5) gen(`tmp2') at(`xb') replace `tmp1' = `tmp1'*`number_yes' replace `tmp2' = `tmp2'*`number_no'

gen double `Gn' = `tmp1'/(`tmp1'+`tmp2')

replace `lnf' = log(`Gn')/_N if $ML_y1==1 replace `lnf' = log(1-`Gn')/_N if $ML_y1==0

}

end

Ben D'Exelle Institute of Development Policy and Management University of Antwerp

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