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Re: st: simultaneously estimate MNL and Logit


From   "Bartus Tamás" <tamas.bartus@uni-corvinus.hu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: simultaneously estimate MNL and Logit
Date   Fri, 03 May 2013 11:29:57 +0200

Hi,

You can estimate multinomial PROBITand another PROBIT simulatenously using the user-written cmp command:

ssc describe cmp

Tamas

On 13/05/03, Igor Ramzak  <igor.ramzak@gmail.com> wrote:
> 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
> 
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> 
--

Tamas Bartus, PhD
Associate Professor, Deputy Director
Institute of Sociology and Social Policy
Corvinus University, Budapest 
1093 Budapest, Közraktár utca 4-6.
Room 424.
Phone:  +36-1-482-7301         
Fax:          +36-1-482-7348
Homepage: http://web.uni-corvinus.hu/bartus

*
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