Statalist


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

Re: st: About the consequence of doing a two step estimation manually


From   "Leda Inga" <[email protected]>
To   [email protected]
Subject   Re: st: About the consequence of doing a two step estimation manually
Date   Tue, 10 Jun 2008 11:52:08 -0500

I'm really a beginner in Stata. I've read the help of gllamm and have
no idea on how to set it up. I would be very greatfull if anybody
could help me with this.

Following the help, I think it would be something like this:

gllamm Y Z C Csquared, link(logit) fam(binom)  i(V001)

V001: the cluster to which each individual belongs to in my data (DHS).
pwi: the weights for each individual

But how could I manage with the correlation between C and e (the error
term of the latent variable Y*)??



2008/6/10 jverkuilen <[email protected]>:
> Did you try setting it up in -gllamm-?
>
> -----Original Message-----
> From: "Leda Inga" <[email protected]>
> To: [email protected]
> Sent: 6/9/2008 7:53 PM
> Subject: Re: st: About the consequence of doing a two step estimation manually
>
> Thank you very much. I definitely don�t want to get standard errors
> that are too small, the problem is that I don't know how to it right.
>
> My model is like this:
>
> Y*= aZ + bC +bC^2 + e
>
> Y*>0,  Y=1
>
> Y*<0, Y=0
>
> Z: exogenous regressors
>
>
> As I mentioned before C is correlated with e. I have instruments (W)
> but don�t know how to do a correct estimation.  ivprobit doesn`t allow
> for a square term.
>
> I asked before in statalist if this would be right, but got no answer:
>
> ivprobit Y Z (C Csquared=W Chatsquared)
>
> Chatsquare: square of predicted values of regressio of C on Z and W.
>
>
>
>
>
> 2008/6/9 David Greenberg <[email protected]>:
>> If you do the estimation m,anually by substituting the predicted value of a predictor into an equation for the second-stage estimation, the software will treat that predicted value as a true observed value, ignoring the fact that there is some uncertainty surrounding the prediction in the first stage. Consequently the second-stage estimation is going to produce estimates with standard errors that are too small. A question that one might ask is why you want to do this manually. David Greenberg, Sociology Department, New York University
>>
>> ----- Original Message -----
>> From: Leda Inga <[email protected]>
>> Date: Monday, June 9, 2008 7:19 pm
>> Subject: st: About the consequence of doing a two step estimation manually
>> To: [email protected]
>>
>>
>>> Dear statalisters:
>>>
>>> I've tried to found a way to do a correct two step estimation but
>>> haven't found an answer. I have an explanatory variable correlated
>>> with the error term and that variable enters the model also with a
>>> square term. I know that if the estimation is done manually the betas
>>> are still consistent and that the problem is the standard errors are
>>> not correctly calculated. What I would like to know is if the standard
>>> errors are subestimated or overestimaded? The pvalue of one of the
>>> regressors of my model is very high and would like to know if the true
>>> pvalue is higher or lower.
>>>
>>> Thanks in advance.
>>> *
>>> *   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/
>> *
>> *   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/
>>
>
> *
> *   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/
>
>
> *
> *   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/
>

*
*   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 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index