Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: IV with oprobit / mprobit?


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV with oprobit / mprobit?
Date   Wed, 15 Mar 2006 13:57:06 -0500

I have also not done the algebra, but I sincerely doubt that the
example Tobias coded, where one excluded instrument is used to
identify the effects of two endogenous dummy variables, can possibly
be right.

A model in which the endogenous regressor is an ordered categorical
variable and the dependent variable is continuous can be fitted using
-ivreg-, since its consistency does not depend on the endog var having
a particular distribution, and trading a tiny efficiency gain for a
well-understood estimator, with no known errors in the code, is well
worth it, IMHO.

See -help _robust- and [P] _robust for help on robust var and clusters.

On 3/15/06, Brian P. Poi <bpoi@stata.com> wrote:
>   (message trimmed)
In your program, the first stage is fit via -oprobit- and the second stage
via -regress-, which implies to me that you are envisioning a model in
which the endogenous regressor is an ordered categorical variable and the
dependent variable is continuous.

If you are interested in a model like -ivprobit- with an ordered dependent
variable, then the two-step estimator of Rivers and Vuong for probit
(1988, Journal of Econometrics) could probably be extended in a
straightforward way.  Newey's efficient estimator (1987, Journal of
Econometrics) might also be a viable option, though it would a bit more
work to code, since it makes use of a two-step estimator like Rivers and
Voung's.  The maximum likelihood estimator as used by -ivprobit- could
also be generalized.  (These ideas should be taken as conjecture -- in
principle they should work, though I haven't done the algebra to guarantee
that they will work or are practical to implement.)

If, on the other hand, you mean a model where the endogenous regressor is
an ordered categorical variable, then I don't have anything to add, other
than a guess that the treatment effects literature may have something to
say.

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2020 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index