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


From   "Marko Bender" <Marko.Bender@wi.tum.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Re: Estimating rare event logistic model (Relogit) with instrumental variable
Date   Sun, 8 Feb 2009 16:57:34 +0100

Sorry for not providing the link to the RELOGIT procedure.

RELOGIT can be found on the website of Prof. Gary King:
http://gking.harvard.edu/stats.shtml

Direct link to the download: http://gking.harvard.edu/files/relogit.zip

Thanks in advance for any help!
Marko

____________________________________________________________

Marko Bender
PhD Student / Wissenschaftlicher Mitarbeiter

KfW-Stiftungslehrstuhl für 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

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Martin Weiss
Gesendet: Sonntag, 8. Februar 2009 16:46
An: statalist@hsphsun2.harvard.edu
Betreff: st: Re: Estimating rare event logistic model (Relogit) with
instrumental variable

<>

You maximize your chances for a reply by letting people know where a 
user-written routine comes from. -findit relogit- throws up no hits...

HTH
Martin
_______________________
----- Original Message ----- 
From: "Marko Bender" <Marko.Bender@wi.tum.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, February 08, 2009 3:00 PM
Subject: st: Estimating rare event logistic model (Relogit) with 
instrumental variable


> 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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