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Re: st: Endogeneity and ordered data


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Endogeneity and ordered data
Date   Wed, 13 Apr 2005 15:33:06 +0100

Aleksander,

Subject:        	st: Endogeneity and ordered data
Date sent:      	Wed, 13 Apr 2005 15:29:46 +0200
From:           	"Aleksander Rutkowski" <ALR@asb.dk>
To:             	<statalist@hsphsun2.harvard.edu>
Send reply to:  	statalist@hsphsun2.harvard.edu

> Hello,
> 
> Is GMM (e.g. command ivreg2,
> http://ideas.repec.org/c/boc/bocode/s425401.html) the best estimation
> method if dependent variable is qualitative (ordered data) and there is
> a problem of endogeneity?

It's not the best choice, unless you are willing to assert that the 
data are cardinal and not just ordinal.

There is a user-written ivprob that does IV probit, but I'm not aware 
of an IV ordered probit.  -findit- might turn up something, though.

Hope this helps.

--Mark

> 
> Regards,
> 
> Aleksander
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
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http://www.sml.hw.ac.uk/cert

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