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Antwort: Re: Re: st: xtivreg2 with endogenous binary regressors


From   Justina Fischer <JFischer@diw.de>
To   statalist@hsphsun2.harvard.edu
Subject   Antwort: Re: Re: st: xtivreg2 with endogenous binary regressors
Date   Tue, 8 Feb 2011 11:35:42 +0100

That is simply a question of the 'power' of the exogenous instrument. It does not matter whether it is binary or continuous.
I guess that at least one other regressor in your first stage is a continuous variable, for computational reasons.

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 11:20AM
Thema: Re: Re: st: xtivreg2 with endogenous binary regressors

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
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