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| From | Javier Pérez <gjavierperezv@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: Re: st: xtivreg2 with endogenous binary regressors |
| Date | Tue, 8 Feb 2011 05:20:58 -0500 |
Justina, many thanks. In may case both the endogenous X and the instrument Z is also binary, am I right saying that it is an additional reason supporting the OLS first stage, or it is just right as with a continuous instrument? 2011/2/8 Justina Fischer <JFischer@diw.de>: > 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 > > -----owner-statalist@hsphsun2.harvard.edu schrieb: ----- > > An: statalist@hsphsun2.harvard.edu > Von: Filipe Silva <filipeourico@googlemail.com> > Gesendet von: owner-statalist@hsphsun2.harvard.edu > 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 <JFischer@diw.de>: > > >> 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 >> >> >> >> >> -----owner-statalist@hsphsun2.harvard.edu schrieb: ----- >> >> An: statalist@hsphsun2.harvard.edu >> Von: Javier Pérez <gjavierperezv@googlemail.com> >> Gesendet von: owner-statalist@hsphsun2.harvard.edu >> 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 >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> >> > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/