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Re: st: random effects logit instrumental variables
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 Harbord mailto:firstname.lastname@example.org
Department of Social Medicine, University of Bristol
--On 09 August 2004 13:27 +0200 email@example.com 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?
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