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From |
Igor Ramzak <igor.ramzak@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: simultaneously estimate MNL and Logit |

Date |
Fri, 3 May 2013 00:47:01 +0200 |

Hi, I want to estimate a recursive model. The dependent variable Y1 is a dummy variable that depends on a vector of exogenous variables and a categorical variable, represented by 4 dummies to take into account 5 distinct groups. My main interest goes to the effect of each of these categories on Y1. But… the categorical variable might be endogenous. For this reason, I would like to estimate a multinomial logit to explain the categorical variable as a function of the exogenous variables that explain Y1 and some instruments that are not correlated with Y1 but explain the categorical variables. Is there a command in Stata that makes this possible? I guess I could use -biprobit- if only my endogenous variable didn’t contain 4 categories instead of 2. I know the first step can be estimated by -mlogit- and the second step with -logit- but how to estimate both simultaneously? I guess this will be necessary in order to control for the covariance of the error terms of both equations. Any ideas how to estimate this? Could the -sem- command be of any assistance? Thanks for your consideration. Igor Ramzak * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: simultaneously estimate MNL and Logit***From:*"Bartus Tamás" <tamas.bartus@uni-corvinus.hu>

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