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Re: st: simultaneously estimate MNL and Logit


From   Igor Ramzak <igor.ramzak@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: simultaneously estimate MNL and Logit
Date   Tue, 7 May 2013 16:54:16 +0200

Thank you very much for your reply. The -cmp- command seems to do the trick!

Igor

2013/5/3 "Bartus Tamás" <tamas.bartus@uni-corvinus.hu>:
> 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
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
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>> *   http://www.ats.ucla.edu/stat/stata/
>>
>>
> --
>
> 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
>
> *
> *   For searches and help try:
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> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/

*
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