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Re: st: random effects logit instrumental variables


From   Roger Harbord <roger.harbord@bristol.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: random effects logit instrumental variables
Date   Mon, 16 Aug 2004 16:02:28 +0100

Don't think there's any command that will do that directly in Stata. I'd rather doubt there is in any software package. I guess you could write a program to do the two stages ( i.e. regress endogenous on instruments and exogenous vars, predict endogenous, regress dependent var on exogeneous vars plus predicted endogenous) and do a clustered bootstrap to get the right standard errors? Would needs a bit of programming expertise, and a reasonably large number of clusters for validity of the bootstrap.

Any IV experts care to comment?

I'm considering doing something similar as i have a candidate for IV in which _both_ equations are generalised linear models (and hence beyond even -qvf- i think). I don't have clustered data though.

Roger.
----------------------------------------------------
Roger Harbord mailto:roger.harbord@bristol.ac.uk
Department of Social Medicine, University of Bristol

--On 09 August 2004 13:27 +0200 esicuri@unipv.it wrote:


I'm trying to estimate a logit model (my dependent variable is a binary
choice) with random effects (I'm using xtlogit, re).

One of my regressors (it's a proportion, a continuos variable in the 0-1
interval) is endogenous and I have instruments for it.

How can I use my instruments for the endogenous variable in my logit model
with random effects?

Thanks

Elisa
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