Dear All:
I have a multinomial dummy variable that has 7 categories - coded 0 to 6.
This dummy is an endogenous explanatory variable in a model like the
following:
Y = a0 + a1*MultinomialDummy + a2*ExogenousVariables + errorterms
My question is how I should account for this dummy using STATA? All I guess
is that I should use mlogit to run the first-stage regression. I have no
clue what to get from the mologit to plug in the second-stage. I don't think
it's just a simple predicted value.
Since I am interested in the impact of each of the category of the
MultinomialDummy on my Y, some suggestions were made that I run the
following model instead:
Y = a0 + a1*Dummy1 + a2Dummy1*S1 + ... + a12*Dummy6 + a13*Dummy6*S6 +
a15*ExogenousVariables + errorterms
where Dummy1 is (1,0) when one of the category of the MultinomialDummy
variable above occurs, and so on for Dummy2 to Dummy6.
What S1 to S6 that are interacted with the dummies are a big puzzle to me.
Does anyone know what they are and how to get them by STATA or mlogit?
I'd greatly appreciate any comments on the econometric method and STATA.
Thanks,
Hinh
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