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Re: st: ordered logistic regression with endogenous variable


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ordered logistic regression with endogenous variable
Date   Thu, 11 Oct 2012 13:10:46 -0400

On Thu, Oct 11, 2012 at 12:38 PM, Anat (Manes) Tchetchik
<anatmanes@gmail.com> wrote:
> Hi Jay, It is a 5 categories var. however not symmetric (i.e. value 1
> appears 10%, 2 appears 11%, 3- 22% , 4-27% and 5- 31%) so it doesn't
> fit into the IV estimator, shell I run gmm?

That's not too bad in terms of skew, but you could have important
subgroups be skewed, so if for instance males are really positive on
the measure and females are really negative, the overall measure might
appear symmetric but not be at the level you want to analyze.

You will get some attenuation of statistical power due to the coarse
response scale. You can try running an ordinary estimator, but if you
notice problems with the residuals, I'd switch to -gllamm- for an
ordinal probit model, or -gmm-. Specifying the model for either is not
a trivial matter, though, so I totally understand the desire to work
with a linear estimator!
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