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Re: st: Instrumental Variables


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Instrumental Variables
Date   Thu, 7 Oct 2004 08:40:49 -0400

On Thu, 7 Oct 2004 13:48:38 +0200, Markiewicz, Agnieszka
<agnieszka.markiewicz@econ.kuleuven.ac.be> wrote:
> Talking about IV. Is it possible to use the IV in an ordered logit model
> in Stata?

If you specifically have measurement error (or errors in variables, as
economists call it), then you should be able to tweak -gllamm- to do
it. See Rabe-Hesketh, Skrondal and Pickles (2003), Maximum likelihood
estimation of generalized linear models with covariate measurement
error, The Stata Journal, 3 (4),pp.386--411.

With -gllamm-, you can also model some of the endogeneity problems by
assuming a common factor model where some variables are correlated due
to a small number of unobserved factors, and are conditionally
independent given those factors.

-- 
Stas Kolenikov
http://stas.kolenikov.name
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