Stata: Data Analysis and Statistical Software

Hi,

in your case, using the fitted values of a nl first stage model, yes, you need to correct the se manually of the main stage.

Using ivreg2, your first stage is a linear model, as you rightly say. So the se in the main stage regression procedure are already corrected.

the question is rather whether we should estimate a linear model when the dependent is ordinal. I'd  say yes, as long as we are not interested in the 'true' effects of Z.

Justina

[email protected] schrieb: -----

An: [email protected]
Von: Filipe Silva <[email protected]>
Gesendet von: [email protected]
Datum: 08.02.2011 10:47AM
Thema: Re: st: xtivreg2 with endogenous binary regressors

Hi,

Please correct me if wrong:
I am having a similar issue. However I'm using the fitted values from
a first step nl regression and using them as instrument for the
endogenous in the second step (see textbook Cameron & Trivedi, 2005
pp. 193). The problem is the correction of se in the second step.
Either you cumpute the V correction manually (not sure if there is an
appropriate package?) or use bootstrap.

My question:
Could this also apply to the case of an ordinal endogenous variable,
since what is used is a linear projection?

Many thanks,

Filipe


2011/2/8 Justina Fischer <[email protected]>:


> Hi
>
> you can use ivreg2 in that case.
>
> reason: you are only interested in predicting computationally correct values
> of the endogenous X, but not in getting the 'right' coefficients on Z.
> In a sense, the size of Z is of no interest to you; only its predictive
> power matters.
>
> Hope this helps
>
> Justina
>
>
>
>
> [email protected] schrieb: -----
>
> An: [email protected]
> Von: Javier Pérez <[email protected]>
> Gesendet von: [email protected]
> Datum: 08.02.2011 10:23AM
> Thema: st: xtivreg2 with endogenous binary regressors
>
> I was wondering if anybody could please help me with the following
> issue: in my model I want to use the xtivreg2 Stata command, but in my
> case both the endogenous regressor and the instrument are binary; but
> the first stage with the xtivreg2 gives me only OLS estimators,
> instead of a logit or probit ones. Could you please give me any light
> about the potential solution? I saw one author with a similar
> situation just using the OLS first stage in this case, so the question
> could then become how can I justify using an OLS fisrt stage rather
> than logit or probit with the binary dep var.
>
> Many thanks in advance. Javier
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