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Re: st: iv clogit


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: iv clogit
Date   Wed, 21 Mar 2007 15:11:24 -0500

With consistency, there is little place for feeling. It is either
proven to hold, or not proven. -clogit- is actually pretty distant
even from -logit-, let alone any of the linear models. And
conditioning (aka fixed effects) is quite different in the logistic
and linear regression.

On 3/21/07, marco stampini <marco_stampini@yahoo.com> wrote:
I am estimating a fixed effect logit regression

clogit D X P, group(id)

where D is a dummy variable.
P is endogenous. I cannot do instrumental variables in clogit.

Could I proceed with a linear approssimation and estimate

xtreg D X P, i(id)

and then

xtivreg D X (P=Z), i(id)

I have a feeling that the linear approximation would be consistent, but I am not sure.
Any hint is welcome.
Thanks, Marco



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Stas Kolenikov
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