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From |
Roger Harbord <rmharbord@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Wed, 11 Feb 2009 11:10:55 +0000 |

Just noticed that the discussion paper in Austin's first link below was published in a journal last year: Wilde J. A note on GMM estimation of probit models with endogenous regressors. Statistical Papers 2008;49:471-484.<http://dx.doi.org/10.1007/s00362-006-0027-2> On Mon, Feb 9, 2009 at 3:01 PM, Austin Nichols <austinnichols@gmail.com> wrote: > 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/

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

**Re: st: Estimating rare event logistic model (Relogit) with instrumental variable***From:*Austin Nichols <austinnichols@gmail.com>

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