Estimation of nested and zero-inflated ordered probit models

David Dale*, Andrei Sirchenko*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


We introduce three new commands—nop, ziop2, and ziop3—for the estimation of a three-part nested ordered probit model, the two-part zero-inflated ordered probit models of Harris and Zhao (2007, Journal of Econometrics 141: 1073–1099) and Brooks, Harris, and Spencer (2012, Economics Letters 117: 683–686), and a three-part zero-inflated ordered probit model of Sirchenko (2020, Studies in Nonlinear Dynamics and Econometrics 24: 1) for ordinal outcomes, with both exogenous and endogenous switching. The three-part models allow the probabilities of positive, neutral (zero), and negative outcomes to be generated by distinct processes. The zero-inflated models address a preponderance of zeros and allow them to emerge in different latent regimes. We provide postestimation commands to compute probabilistic predictions and various measures of their accuracy, to assess the goodness of fit, and to perform model comparison using the Vuong test (Vuong, 1989, Econometrica 57: 307–333) with the corrections based on the Akaike and Schwarz information criteria. We investigate the finite-sample performance of the maximum likelihood estimators by Monte Carlo simulations, discuss the relations among the models, and illustrate the new commands with an empirical application to the U.S. federal funds rate target.
Original languageEnglish
Pages (from-to)3-38
Number of pages36
JournalStata Journal
Issue number1
Publication statusPublished - Mar 2021


  • Vuong test
  • endogenous switching
  • federal funds rate target
  • nested ordered probit
  • nop
  • ordinal outcomes
  • sto0625
  • zero inflation
  • zero-inflated ordered probit
  • ziop3
  • ziop2
  • st0625

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