BICOP: a Stata command for fitting bivariate ordinal regressions with residual dependence characterised by a copula function and normal mixture marginals

Publication type

Understanding Society Working Paper Series

Series Number

2015-02

Series

Understanding Society Working Paper Series

Authors

Publication date

May 20, 2015

Abstract:

This article describes a new Stata command, bicop, for
fitting a model consisting of a pair of ordinal regressions with a flexible
residual distribution, with each marginal distribution specified as a two-part
normal mixture, and stochastic dependence governed by a choice of copula
functions. The bicop command generalizes the existing biprobit and bioprobit
commands which assume a bivariate normal residual distribution. The command and
post estimation options are presented and explained with an illustrative
application to data on financial wellbeing from the UK Understanding Society
Panel Survey.

Subjects

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Related Publications

• bicop: a command for fitting bivariate ordinal regressions with residual dependence characterized by a copula function and normal mixture marginals

  Monica Hernandez-Alava, Stephen Pudney,

  Journal Article - 20160601

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