Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: IV for endogeneity in GLM

From   Rijo John <>
To   Statalist <>
Subject   st: IV for endogeneity in GLM
Date   Wed, 30 Nov 2005 15:17:32 +0530 (IST)

Hi all,

I am trying to estimate an IV model with GLM in Stata for a fractional
response variable using the -qvf- command. I have a covariate which is
endogenous because of which I need to use an IV for endogeneity in GLM.
I came to know about the -qvf- command from this post:

However, I could not come to a conclusion as to whether -qvf- can be used
without any problem of interpretation of the coefficients when the IV is
for endogeneity. Prof. Wooldridge's work suggest the use of -glm-
family(binomial)  link(probit) robust. Refer:  (Unobserved Heterogeneity
and Estimation of Average Partial Effects, Section 4.2)

Can any any of you tell me whether -qvf- with family(binomial) link(logit)
robust or -glm- with "family(binomial)  link(probit)  robust" or -qvf-
with "family(binomial) link(probit)  robust" gives the best (or the least
problematic) estimation for a GLM with endogenous explanatory variables
while modelling fractional dependent variables.

Thanking you in advance,

Rijo John.
Rijo.M.John,Research Scholar
Indira Gandhi Institute of Development Research,
Film City Road, Goregaon East,
Mumbai, India-400065.
contact: (+91)9892412476

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index