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st: MLE and discrete response model

From   elan satriawan <[email protected]>
To   [email protected]
Subject   st: MLE and discrete response model
Date   Tue, 19 Sep 2006 10:38:47 -0700 (PDT)

Dear All, 
In Wooldridge (2002) panel econometrics text book, it
is said that maximum likelihood estimation has some
advantages over two-steps procedure for estimating
discrete response model with endogenous explanatory
variable (probit or logit). The book also mentions
that with MLE the exogeneity test can also be easily
conducted. Has anyone performed this method? Would you
please share with me how to perform the estimation and
test procedure for this method in stata? Would that be
possible to use it for multinomial --not just
regular-- probit/logit? Many thanks in advance.



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