Re: st: ivlogit Function Question

["Brian P. Poi" <bpoi@stata.com>]

On Fri, 23 Jun 2006 Nicola.Lostumbo@bos.frb.org wrote:

> Hi,
>
> I have an inquiry as to why there is no ivlogit command in STATA. Since
> ivprobit and ivtobit are available, is there some theoretical reason for
> the absence of ivlogit? I have looked a bit, but is there a user-defined
> ivlogit function? All help is appreciated.
>
> Nicola
Nicola,

The maximum likelihood estimators used by -ivprobit- and -ivtobit- are 
derived by assuming the error term in the structural equation and the 
error term in the reduced-form equation for the endogenous regressor are 
jointly normally distributed.  The derivation of the two-step estimators 
also assumes bivariate normal errors.

If you specify the structural equation as logit instead of probit, then 
you would need to figure out the appropriate bivariate distribution to use 
for the error terms, and my guess is that it would be much more 
complicated to work with than the bivariate normal distribution.

   -- Brian Poi
   -- bpoi@stat.com


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