Re: st: logit model with endogenous

[John Antonakis <John.Antonakis@unil.ch>]

Hi Richard:

-gsem- does not allow an explicit correlation of disturbances; thus, if 
the mediator is endogenous, the estimator will not be consistent. Thus, 
one is better off using ivprobit or cmp (from SSC). With gsem one would 
have to do a couple of tricks to get going as an instrumental-variable 
estimator. Here is a work-around that Stata's tech support gave me when 
I pinged them on this question, which I used to do with MPlus but had 
trouble doing it when using Stata. The solution is quite straight 
forward and includes modeling an extra latent variable, "L":

  cmp setup
  webuse laborsup, clear
  replace fem_inc = fem_inc - 10
  cmp (fem_work =  fem_educ kids) ///
      (other_inc = fem_work fem_educ kids male_educ), ///
      ind($cmp_probit $cmp_cont)

  gsem (fem_work <- fem_educ kids L@1, probit) ///
       (other_inc <- fem_work fem_educ kids male_educ L), var(L@1)

  /* Coefficients in the other_inc equation match */
  /* Probit assumes an error variance of 1, but we have added
   *    and extra variance of 1 from L. */
  /* To obtain probit coefficients, we can divide by the
   *    square root of 2 */

  nlcom (fem_educ : _b[fem_work:fem_educ] / sqrt(2)) ///
        (kids : _b[fem_work:kids] / sqrt(2)) ///
        (cons : _b[fem_work:_cons] / sqrt(2))

  /*  We also need to back transform results in order to obtain sigma and
   *  rho that are reported by -cmp-. */

  nlcom (sig: sqrt(_b[var(e.other_inc):_cons] +_b[other_inc:L]^2)) ///
        (rho: _b[other_inc:L]/(sqrt(2)*sqrt(_b[var(e.other_inc):_cons] ///
      + _b[other_inc:L]^2)))

Best,
J.

__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor:
The Leadership Quarterly
Organizational Research Methods
__________________________________________

On 24.03.2014 02:04, Richard Williams wrote:
> Unclear. Do you mean you tried ivprobit, and it would not run? Or are 
> you saying you don't think ivprobit is appropriate? If the former, 
> show us the code and error messages. If the latter, explain what you 
> have against using probit instead. I think it is rare that some great 
> (or even small) harm would come from running a probit rather than a 
> logit.
>
> I haven't tried it, but i wonder if you could do something like an 
> ivlogit model using -gsem-.
>
> At 06:28 PM 3/23/2014, maggie zhang wrote:
> > Hi,
> >
> > I need to run logit model with endogenous covariates. There is only
> > ivprobit/ivtobit in stata. However, I could not run the probit
> > regression for my model instead of the logit. What could I do?
> >
> > Thanks,
> > Best,/Maggie
> > *
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>
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
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>
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