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Re: st: RE: RE: RE: 2SLS, logistic regression and more (problems...)


From   Inés Rodríguez <irodriguez@udesa.edu.ar>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: RE: RE: 2SLS, logistic regression and more (problems...)
Date   Thu, 13 Dec 2007 10:14:27 -0300 (ART)

is usual to use ordinal variables in 2SLS estimations
generally many models use ordinal variables (dummies) in the first stage

if your dependent variable is ordinal (dummy) you could use a probit or
logit model in 2SLS estimation

Ines

> Thanks a lot for your comment!
>
> I´ve just come across another question, not directly related to Stata, but
> I have not yet found any hints in the textbooks.
>
> Is it possible to use ranked data in 2SLS estimations? My data is ordinal
> scaled and comprises nonlinear relationships. In accordance to existing
> literature in my field (accounting) I calculated ranks and so far used
> them in ordinary OLS-estimations. I am just wondering if I could use 2SLS
> in this case since I need to incorporate instrument variables due to an
> endogenous explanatory variable.
>
> Many thanks in advance
> Tatjana
>
>
>
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Corey Phelps
> Gesendet: Samstag, 8. Dezember 2007 22:26
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: RE: RE: 2SLS, logistic regression and more (problems...)
>
> It's unclear to me why you want to estimate the first stage using logistic
> regression. I am assuming your enogenous variable is dichotomous. If so,
> an
> you are only interested in obtaining a consistent estimate in the second
> stage, you can use linear regression for the first stage. Estimating the
> first stage using probit or logit is unnecessary because in 2SLS the
> consistency of the estimates in the second stage are not dependent upon
> specifying the correct functional form in the first stage (Kelejian,
> 1971).
>
> Kelejian, H. 1971. Two-stage least squares and econometric systems linear
> in
> parameters but nonlinear in endogenous variables. Journal of the American
> Statistical Association, 66: 373-374.
>
> Corey Phelps, PhD
> Asst. Professor, Management & Organization
> Neal & Jan Dempsey Faculty Fellow
> Michael G. Foster School of Business
> University of Washington
> Box 353200
> Seattle, WA 98195
> (206) 543-6579
> www.coreyphelps.com
>
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> Verkuilen, Jay
>> Sent: Saturday, December 08, 2007 1:02 PM
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: RE: 2SLS, logistic regression and more (problems...)
>>
>> Tatjana Oberdörster wrote:
>>
>> >>I'd like to do a 2SLS estimation where the first-stage
>> regression is Logistic. [snip] <<
>>
>> I suggest looking at GLLAMM, the freely downloadable program
>> that can be found at http://www.gllamm.org.
>>
>> Jay
>> --
>> J. Verkuilen
>> Assistant Professor of Educational Psychology
>> City University of New York-Graduate Center
>> 365 Fifth Ave.
>> New York, NY 10016
>> Email: jverkuilen@gc.cuny.edu
>> Office: (212) 817-8286
>> FAX: (212) 817-1516
>> Cell: (217) 390-4609
>>
>>
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