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Re: st: ordered logistic regression with endogenous variable


From   "Anat (Manes) Tchetchik" <anatmanes@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ordered logistic regression with endogenous variable
Date   Thu, 11 Oct 2012 20:04:46 +0200

Thanks Jay,
Actually this is not our main model (rather it is an "auxiliary" one
aiming to validate some relations) our main model is a count one with
IVs.
I'm not sure I understood what did you mean by: problems with the
residuals, I ran the  IVregress and received the following stats.
(with some of the coefficients signif. as expected )
Instrumental variables (2SLS) regression      Number of obs =  603
                                                       Wald chi2(14) =  169.62
                                                       Prob > chi2   =  0.0000
                                                       R-squared     =  0.3208
                                                       Root MSE      =  1.0537
Anat


On Thu, Oct 11, 2012 at 7:10 PM, JVerkuilen (Gmail)
<jvverkuilen@gmail.com> wrote:
> 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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-- 
Anat Tchetchik, PhD
Department of Hotel and Tourism Management
Guilford Glazer Faculty of Business and Management
Ben-Gurion University of the Negev
P.O.Box: 653
Beer-Sheva, Israel, 84105

E-mail:       anat@som.bgu.ac.il
Phone         972-(0)8-6479735
Fax:           972-(0)8-6472920
Web:          http://cmsprod.bgu.ac.il/Eng/som/hotelmanage/Staff/Academic/ChechikA.htm
*
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