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| From | Filipe Silva <filipeourico@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: Re: Re: st: xtivreg2 with endogenous binary regressors |
| Date | Tue, 8 Feb 2011 10:39:27 +0000 |
Thank you very much! 2011/2/8 Justina Fischer <JFischer@diw.de>: > 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 >>> * >>> * 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/ > > * * 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/