Henrique Neder <[email protected]>:
There is a serious flaw in that two-step logit model--it is not
consistent, and is an example of what Wooldridge (2002) calls the
"forbidden regression" (see section 15.7.3, pp.477-478). That same
section discusses the MLE for probit with a binary endogenous
variable.
Wooldridge, J.M. 2002. Econometric Analysis of Cross Section and Panel
Data. Cambridge, MA: MIT Press.
On 11/20/07, Henrique Neder <[email protected]> wrote:
> Kim
>
> I do not know if I understand your question well. I think that I had a
> similar problem: This equation is the first stage
> of an estimation by instrumental variables in two stages. I replaced the
> estimate of q obtained through the logit model (2) in place of P variable in
> the logit model (1).
>
> I wonder if this helps you and also on the part of any list member if there
> is any flaw in this econometric method.
>
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