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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 9 Feb 2009 10:01:50 -0500 |

Marko Bender <Marko.Bender@wi.tum.de>: This is probably a less straightforward problem than it first appears--see e.g. http://www.iwh-halle.de/d/publik/disc/4-05.pdf http://dx.doi.org/10.1016/S0165-1765(01)00623-1 On Sun, Feb 8, 2009 at 12:51 PM, Stas Kolenikov <skolenik@gmail.com> wrote: > 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Estimating rare event logistic model (Relogit) with instrumental variable***From:*Roger Harbord <rmharbord@googlemail.com>

**References**:**Re: st: Estimating rare event logistic model (Relogit) with instrumental variable***From:*Stas Kolenikov <skolenik@gmail.com>

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