region switch regression in proc nlmixed

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

      When an error in a selection equation is correlated with regression equations, then these correlation measures have to be corrected in the likelihood function, otherwise the results will be biased.

      Here are a couple of procedures one can use.
1) nlmixed
2) qlim

      here is a link for the further reference ( first 2 pages)
http://siteresources.worldbank.org/DEC/Resources/movestay.pdf

1. **************************************************;
   
2. %let n=500;
   
3. 
   
4. data Sigma (type=cov);
   
5. infile cards;
   
6. input _type_ $ _Name_ $ errz err0 err1;
   
7. cards;
   
8. cov errz 1 0.8 0.5
   
9. cov err0 0.8 1 0.3
   
10. cov err1 0.5 0.3 1
    
11. ;
    
12. run;
    
13. 
    
14. proc simnormal data=sigma out=err_mat numreal=&n seed=134;
    
15. var errz err0 err1;
    
16. run;
    
17. 
    
18. 
    
19. data sim;
    
20.   set err_mat;
    
21.    x0=rannor(123);
    
22.    x1=rannor(123);
    
23.    z=rannor(123);
    
24.    s=1+2*z>errz;
    
25.    if s=0 then y=2+2*x0+1.41*err0;
    
26.    else        y=1+3*x1+0.2*err1;
    
27.    if s=0 then y0=y;
    
28.    else y1=y;
    
29. 
    
30. run;
    
31. 
    
32. proc nlmixed data=sim;
    
33. parms a1 a2 b1 b2 z1 z2=1 s0=1 s1=0.5 r0 r1=0.01;
    
34. /*s0=1; s1=0.2;*/
    
35. err0=(y-a1-a2*x0);
    
36. err1=(y-b1-b2*x1);
    
37. 
    
38. pdf0=pdf('normal',err0,0,s0);
    
39. pdf1=pdf('normal',err1,0,s1);
    
40. 
    
41. if s=0 then do;
    
42.     zbeta=(z1+z2*z+r0*(err0/s0))/sqrt(1-r0**2);
    
43.     cdf=cdf('normal',zbeta);
    
44.     prob=cdf;
    
45.     lik=(1-prob)*pdf0;
    
46. end;
    
47. else   do;
    
48.     zbeta=(z1+z2*z+r1*(err1/s1))/sqrt(1-r1**2);
    
49.     cdf=cdf('normal',zbeta);
    
50.     prob=cdf;
    
51.     lik=(prob)*pdf1;
    
52. end;
    
53. ll=log(lik);
    
54. model s ~ general(ll);
    
55. run;
    
56. 
    
57. proc qlim data=sim;
    
58.    model s = z/discrete;
    
59.    model y0 = x0 / select(s=0);
    
60.    model y1 = x1 / select(s=1);
    
61. run;

复制代码

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：proc nlmixed regression regressio regress nlmixed sigma Sigma sigma nlmixed region switch proc nlmixed

谢谢分享。