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Re: st: ivlogit Function Question


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivlogit Function Question
Date   Fri, 23 Jun 2006 09:00:58 -0500 (CDT)

On Fri, 23 Jun 2006 Nicola.Lostumbo@bos.frb.org wrote:

Hi,

I have an inquiry as to why there is no ivlogit command in STATA. Since
ivprobit and ivtobit are available, is there some theoretical reason for
the absence of ivlogit? I have looked a bit, but is there a user-defined
ivlogit function? All help is appreciated.

Nicola
Nicola,

The maximum likelihood estimators used by -ivprobit- and -ivtobit- are derived by assuming the error term in the structural equation and the error term in the reduced-form equation for the endogenous regressor are jointly normally distributed. The derivation of the two-step estimators also assumes bivariate normal errors.

If you specify the structural equation as logit instead of probit, then you would need to figure out the appropriate bivariate distribution to use for the error terms, and my guess is that it would be much more complicated to work with than the bivariate normal distribution.

-- Brian Poi
-- bpoi@stat.com


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