Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: heckman powell andrews sssm gennorm

Macro: select
Description: select calculates semiparametric estimators of the intercept and slope coefficients in the "outcome" or "level" equation of a self-selection model. select is therefore the second stage of the two-stage procedure used to estimate these models. select does not estimate the coefficients of the "selection" or "decision" equation but requires that the estimated first-step "index" be given as an input. The procedure to estimate the slope coefficients is desribed in Powell (1987). The procedure to estimate the intercept coefficient is desribed in Andrews and Schafgans (1994). select combines the powell and andrews macros of the metrics library.

Usage: {a,b} = select(x,y,id,h)
Input:
x n x M regressor matrix. WARNING: x may not contain a vector of ones !
id n x 1 vector containing the estimated index of the first-step selection equation.
y n x 1 matrix containing n observ. of the dependent variable
h 2 x 1 vector of bandwidth. the first element of h is the bandwidth used for estimating the intercept coefficient while the second element of h is the bandwidth used for estimating the slope coefficients.
Output:
a scalar estimated intercept coefficient
b M x 1 vector of estimated slope coefficients

Example:

library("xplore")
library("sim")
library("metrics")
randomize(66666)
n	= 200				; sample size
ss1	= #(1,0.9)~#(0.9,1)		; covariance matrix of error terms
g	= #(1)				; true coefficient of decision equation
b	= #(-9, 1)			; true intercept and slope of outcome equation
u	= gennorm(n, #(0,0), ss1)	; generate realizations of joint distribution of error terms
ss2     = #(1,0.4)~#(0.4,1)		; covariance matrix of regressors
xz      = gennorm(n, #(0,0), ss2)       ; generate realizations of joint distribution of regressors
z       = xz[,2]			; regressor of decision equation
q       = (z*g+u[,1].>=0)		; generate binary dependent variable of decision equation
hd	= 0.1*(max(z) - min(z))		; bandwidth for dwade procedure
d	= dwade(z,q,hd)*(2*sqrt(3)*pi)	; dwade estimate * scaling factor
id	= z*d				; estimated first-step index
h       = (quantile(id, 0.7))|(0.2*(max(id) - min(id)))	;  bandwidth for select procedure
x	= matrix(n)~xz[,1]		; regressors for outcome equation
y       = x*b+u[,2]			; dependent variable for outcome equation
zz	= paf(y~x~id, q)		; impose censored sampling
y	= zz[,1]
x	= zz[,3:(cols(zz)-1)]
id	= zz[,cols(zz)]
{a,b}	= select(x,y,id,h)
d~a~b	; first-step estimate ~  intercept estimate ~ slope estimate				
Result:

Library: metrics
See also: heckman powell andrews sssm gennorm

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: akw,961106
(C) MD*TECH Method and Data Technologies, 28.6.1999