Dear Judith,
Well, and? Could you or would you, please, elaborate on this rahter shortish
remark? Thanks!
Have a nice weekend,
Tobias
-----Original Message-----
From: [email protected] On Behalf Of Abrams, Judith
Sent: Friday, March 17, 2006 6:01 PM
To: [email protected]
Subject: RE: st: IV with oprobit / mprobit?
I did.
-----Original Message-----
From: [email protected] On Behalf Of Austin Nichols
Sent: Wednesday, March 15, 2006 1:57 PM
To: [email protected]
Subject: Re: st: IV with oprobit / mprobit?
I have also not done the algebra, but I sincerely doubt that the example
Tobias coded, where one excluded instrument is used to identify the effects
of two endogenous dummy variables, can possibly be right.
A model in which the endogenous regressor is an ordered categorical variable
and the dependent variable is continuous can be fitted using -ivreg-, since
its consistency does not depend on the endog var having a particular
distribution, and trading a tiny efficiency gain for a well-understood
estimator, with no known errors in the code, is well worth it, IMHO.
See -help _robust- and [P] _robust for help on robust var and clusters.
On 3/15/06, Brian P. Poi <[email protected]> wrote:
> (message trimmed)
In your program, the first stage is fit via -oprobit- and the second stage
via -regress-, which implies to me that you are envisioning a model in which
the endogenous regressor is an ordered categorical variable and the
dependent variable is continuous.
If you are interested in a model like -ivprobit- with an ordered dependent
variable, then the two-step estimator of Rivers and Vuong for probit (1988,
Journal of Econometrics) could probably be extended in a straightforward
way. Newey's efficient estimator (1987, Journal of
Econometrics) might also be a viable option, though it would a bit more work
to code, since it makes use of a two-step estimator like Rivers and Voung's.
The maximum likelihood estimator as used by -ivprobit- could also be
generalized. (These ideas should be taken as conjecture -- in principle
they should work, though I haven't done the algebra to guarantee that they
will work or are practical to implement.)
If, on the other hand, you mean a model where the endogenous regressor is an
ordered categorical variable, then I don't have anything to add, other than
a guess that the treatment effects literature may have something to say.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
