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probit

probit regression

CALLING SEQUENCE

[rprobit]=probit(namey,arg1,...,argn)

PARAMETERS

Input

* namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes; all values should be 0 or 1.

* argi = an argument that can be:

  - a time series

  - a real (nx1) vector

  - a real (nxk) matrix

  - a string equal to the name of a time series or a (nxk) real vector or matrix between quotes

  - a list of such elements

  - the string 'noprint' if the user doesn't want to display the results of the regression

 

Output

* rprobit = a results tlist with

  - rprobit('meth') = 'probit'

  - rprobit('y') = y data vector

  - rprobit('x') = x data matrix

  - rprobit('nobs') = # observations

  - rprobit('nvar') = # variables

  - rprobit('beta') = bhat

  - rprobit('yhat') = yhat

  - rprobit('resid') = residuals

  - rprobit('vcovar') = estimated variance-covariance matrix of beta

  - rprobit('tstat') = t-stats

  - rprobit('pvalue') = pvalue of the betas

  - rprobit('r2mf') = = McFadden pseudo-R²

  - rprobit('rsqr') = = Estrella R²

  - rprobit('lratio') = LR-ratio test against intercept model

  - rprobit('lik') = unrestricted Likelihood

  - rprobit('zip') = # of 0's

  - rprobit('one) = # of 1's

  - rprobit('iter') = # of iterations

  - rprobit('crit') = convergence criterion

  - rprobit('namey') = name of the y variable

  - rprobit('namex') = name of the x variables

  - rprobit('prests') = boolean indicating the presence or absence of a time series in the regression

  - rprobit('prescte') = %f (for printings)

  - rprobit('bounds') = if there is a timeseries in the regression, the bounds of the regression

DESCRIPTION

Computes Probit Regression. Endogenous variable must be given first, as a vector, a ts, between quotes (if the user wants to keep the name of the variable in the tlist result and for the printings) or not. Exogenous variables are given after, in one of the formats authorized for the endogenous one, or in matrix format. The program displays on screen various results (coefficients, tstat, R², Durbin and Watson, first order autocorrelation of residuals,...) except if the user has entered the argument 'noprint' anywhere after the first argument.

EXAMPLE

grade = zeros(32,1);
grade([5 10 14 20 22 25:27 29 30 32],1)  = 1;
gra=reshape(grade,'1a')
 
// psi variable
psi = reshape([zeros(18,1) ; ones(14,1)],'1a')
tuce = reshape([20 22 24 12 21 17 17 21 25 29 20 23 23 25 26 19 ...
        25 19 23 25 22 28 14 26 24 27 17 24 21 23 21 19]','1a')
 
gpa = reshape([2.66 2.89 3.28 2.92 4.00 2.86 2.76 2.87 3.03 3.92 ...
       2.63 3.32 3.57 3.26 3.53 2.74 2.75 2.83 3.12 3.16 ...
       2.06 3.62 2.89 3.51 3.54 2.83 3.39 2.67 3.65 4.00 ...
       3.10 2.39]','1a')
 
bounds()
r = probit('grade','const','psi','tuce','gpa');
// Example, taken from probit_d, shows the estimation of a probit model taken from Greene (1997).
r = probit('grade','const','psi','tuce','gpa', 'tol=sqrt(%eps)', 'noprint', 'maxit=200')
// Does the same, except that the options tol and maxit are set to non default values and that the results are not displayed.

AUTHOR

Eric Dubois 2002

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