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st: MLE and discrete response model
In Wooldridge (2002) panel econometrics text book, it
is said that maximum likelihood estimation has some
advantages over two-steps procedure for estimating
discrete response model with endogenous explanatory
variable (probit or logit). The book also mentions
that with MLE the exogeneity test can also be easily
conducted. Has anyone performed this method? Would you
please share with me how to perform the estimation and
test procedure for this method in stata? Would that be
possible to use it for multinomial --not just
regular-- probit/logit? Many thanks in advance.
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