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


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Estimating rare event logistic model (Relogit) with instrumental variable
Date   Sun, 8 Feb 2009 11:51:17 -0600

Murphy-Topel approach is one common way to adjust the standard errors,
see http://www.stata-journal.com/article.html?article=st0018. There's
been a special issue of Stata Journal on measurement errors --
http://www.stata-journal.com/sj3-4.html. There were papers addressing
some problems with instrumental variables estimation of GLMs, although
what some statisticians say an instrumental variable is (and hence
implemented in that software) might seem weird to an econometrician.

The only thing that I personally know about rare events are population
based case-control studies where the slopes are estimated
consistently, and only the intercept might be off for some estimation
procedures. Is there much on top of that in terms of what you call
corrections for rare events?

Gary King's procedures are about five versions of Stata old by now
(oh, those wonderful times without the -syntax- command!). I am pretty
sure that something of this kind has already been implemented under a
different name. -relogit- was not a great name, BTW, to begin with, as
my first thought was of a random effect logit (now existent as
-xtmelogit- in Stata 10).

Anything that looks like a GMM can be implemented using Mata's
-optimize()- function, although that would require a good deal of
custom programming. For any sort of IV procedures, you have an
estimating equation that is essentially

sum over observations ( residual times instrument times maybe a
weight/variance function )

Square those sums, add them up -- and you have some sort of GMM
procedure, even though inefficient.

On Sun, Feb 8, 2009 at 8:00 AM, Marko Bender <Marko.Bender@wi.tum.de> wrote:
> 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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>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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