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Re: st: Ordered probit with instrumental variables and panel data

From   Stas Kolenikov <>
Subject   Re: st: Ordered probit with instrumental variables and panel data
Date   Mon, 22 Aug 2011 15:03:35 -0500

On Mon, Aug 22, 2011 at 2:50 PM, Vaidya, Riha <> wrote:
> I would greatly appreciate some help on a problem I'm running into. I am trying to estimate an ordered probit on panel data and I'm also using instrumental variables since I have endogenous regressors. I plan to use the GMM environment for estimation, but the documentation is not very explicit with respect to using a binary or ordered dependent variable with gmm . Is there a way to do this in stata within the GMM environment?

You would need to derive score equations. Then you you can apply
instruments to these score equations. Since the contributions would
probably have to be summed up at the panel level, you would have to
write an evaluator for that.

Stas Kolenikov, also found at
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