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st: multinomial logit with endogenous variables

From   [email protected]
To   [email protected]
Subject   st: multinomial logit with endogenous variables
Date   Tue, 05 Jul 2005 15:06:35 +0200

Dear all, 

I am interested in estimating a multinomial logit model with a
continuous endogenous variable. As far as I know, there is no command in
Stata which can deal with this. 

The dependent variable of the multinomial logit is z (three classes) and
the endogenous variable (y) is continuous. 

One way to do this is employ a two-stage multinomial logit where the
first stage estimates y through OLS and the second stage uses the
predicted values of y as instruments. 

Since the second-stage estimation should be corrected for the inclusion
of a predicted value as a regressor, I thought to implement this
correction via boostrapping. My question is: do I need to compute the
two-step corrected variance-covariance matrix by hand or the boostrap
command can automatically deal with this?

Below is a sketch of the program I've thought about, but I am not sure
whether I need to make some further corrections for the standard errors.

Thanks in advance for your help, 

            program myprog
            // Stage 1
            regress y x1 x2 x3 z1 z2
            predict double yhat, xb

            // Stage 2
            mlogit  z x1 x2 x3 yhat
            bootstrap "myprog" _b _se, reps(1000) dots
  [email protected]

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