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RE: st: IV with oprobit / mprobit?


From   "Abrams, Judith" <abramsj@karmanos.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: IV with oprobit / mprobit?
Date   Fri, 17 Mar 2006 12:00:32 -0500

I did.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Austin
Nichols
Sent: Wednesday, March 15, 2006 1:57 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: IV with oprobit / mprobit?


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.

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