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st: multinomial probit/logit model with endogenous variables


From   xueliansharon <xuelianstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: multinomial probit/logit model with endogenous variables
Date   Sun, 15 May 2011 15:14:41 -0700 (PDT)

Dear all,

I want to estimate a multinomial probit/logit model, but I have 1 endogenous
variable in the model, and I have 2 IVs in hand. Is there anyway to address
the endogeneity problem? Or maybe I should use two-stage multinomial
probit/logit? 

i.e.
1st-stage
regress y x1 x2 x3 I1 I2
predict yhat, xb

2nd-stage
mprobit z yhat x1 x2 x3

Is this method correct? (here, z is the multinomial dependent variable, y is
the endogenous variable, x1, x2, x3 are the exogenous variables, I1 and I2
are instruments)

Any help will be appreciated!

Sharon


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