IDEAS home Printed from https://ideas.repec.org/p/boc/dsug22/02.html
   My bibliography  Save this paper

A mixture of ordered probit models with endogenous switching between two latent classes

Author

Listed:
  • Jochem Huismans

    (Universiteit van Amsterdam)

  • Andrei Sirchenko

    (Universiteit Maastricht)

  • Jan Willem Nijenhuis

    (Universiteit Twente)

Abstract

Ordinal responses can be generated, in a time-series context, by different latent regimes or, in a cross-sectional context, by different unobserved classes of population. We introduce a new command, swopit, that fits a mixture of ordered probit models with either exogenous or endogenous switching between two latent classes (or regimes). Switching is endogenous if the unobservables in the class-assignment model are correlated with the unobservables in the outcome models. We provide a battery of postestimation commands, assess by Monte Carlo experiments the finite-sample performance of the maximum likelihood estimator of the parameters, probabilities and their standard errors (both the asymptotic and bootstrap ones), and apply the new command to model the policy interest rates.

Suggested Citation

  • Jochem Huismans & Andrei Sirchenko & Jan Willem Nijenhuis, 2022. "A mixture of ordered probit models with endogenous switching between two latent classes," German Stata Users' Group Meetings 2022 02, Stata Users Group.
    • Handle: RePEc:boc:dsug22:02
    as

    Download full text from publisher

    File URL: http://repec.org/dsug2022/germany22_huismans1.pdf
    File Function: presentation materials
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:dsug22:02. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.