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Re: st: Binary choice model: Logit using IVs


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Binary choice model: Logit using IVs
Date   Tue, 3 Apr 2012 11:06:13 -0400

Rüdiger Vollmeier <ruediger.vollmeier@googlemail.com>:
See Technical Note p663 [R] gmm.

2012/4/3 Rüdiger Vollmeier <ruediger.vollmeier@googlemail.com>:
> Dear statalistusers,
>
> I read former posts stating that there was no (user-written-) command
> to estimate a simple binary choice model using Logistic regressions
> and instrumental variables (in case of endogenous regressors) (I guess
> nobody has come up with such a command since the problems were
> discussed (?)).
>
> My problem is as follows: I would like to estimate an Logit regression
> using IVs because all the regressions without IVs in my paper do rely
> on the logistic distribution of error terms.
>
> 1. Hence, I would like to know how you typically conduct a Logit using IVs?
> 2. Would it be possible to run a 2SLS "by hand" (OLS of endogenous
> regressors) and then Logit on the predicted values? (How) would I
> correct the standard errors of the parameter estimates in this case?

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