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st: Estimating rare event logistic model (Relogit) with instrumental variable


From   "Marko Bender" <Marko.Bender@wi.tum.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Estimating rare event logistic model (Relogit) with instrumental variable
Date   Sun, 8 Feb 2009 15:00:44 +0100

Dear STATA users,

I would like to estimate a rare event logistic model (RELOGIT) with an
instrumental variable.
Is that possible in STATA?

The problem is:
- IVPROBIT does not correct for rare events
- a ?self constructed? two stage regression (1st stage: OLS; 2nd stage
RELOGIT) does not deliver correct coefficients and standard errors
- more flexible estimation procedures like CMP or GLLAMM do not allow to
specify user written procedures like RELOGIT

So does anybody know one of the following:
- Is there a procedure existing to consistently estimate a two stage
regression with user-defined estimation procedures (to include RELOGIT)?
- How to do the regressions manually and to estimate the correct
coefficients and standard errors?
- Is a similar correction as implemented by RELOGIT available for probit
results and could it be viable to correct the estimations of IVPROBIT? 

I would be really, really happy for any help you can provide.

Regards,
Marko

____________________________________________________________ 
Marko Bender
Doctoral Candidate / Wissenschaftlicher Mitarbeiter
KfW Endowed Chair in Entrepreneurial Finance | Prof. Dr. Dr. Ann-Kristin
Achleitner
TUM Business School | Technische Universität München (TUM)
Arcisstr. 21 | D-80333 München | Germany
Tel.: +49 (0)89 289 25189 | Fax: +49 (0)89 289 25188
marko.bender@wi.tum.de | http://www.wi.tum.de/ef



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