?===================================================================

?  This program computes a Pseudo Rý for a probit model based on the       

?  formula given by McKelvey and Zavoina in their paper on the ordered     

?  probit model.  The formula suggested is                                 

?                                                                          

?         E[y*³y]  =  yf  =  á'x  +  lambda                                

?                                                                          

?         Rý = N * [ var(yf) / (1 + var(yf) ]                              

?                                                                          

?  where  lambda is the inverse Mill's ratio usually kept for SELECT.      

?  (To get the MZ result exactly, we'd use 1/N not 1/(N-1) in var(yf).)    

? User must define the data matrix with the following line:        =

?                                                                  =

?        NAMELIST         ; X = ... $                              =

?                                                                  =

? User's dependent variable is Y.  Change the following line       =

?                                                                  =

?        CREATE           ; Y = the dependent variable $           =

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?===================================================================

   PROBIT   ; lhs = y ; rhs = X ; hold(imr=lambda) $                       

   CREATE   ; yf = dot(x,b) + lambda $                                     

   CALC     ; zm = (n-1)*var(yf) / (n + (n-1)*var(yf)) $