It's unclear to me why you want to estimate the first stage using logistic
regression. I am assuming your enogenous variable is dichotomous. If so, an
you are only interested in obtaining a consistent estimate in the second
stage, you can use linear regression for the first stage. Estimating the
first stage using probit or logit is unnecessary because in 2SLS the
consistency of the estimates in the second stage are not dependent upon
specifying the correct functional form in the first stage (Kelejian, 1971).
Kelejian, H. 1971. Two-stage least squares and econometric systems linear in
parameters but nonlinear in endogenous variables. Journal of the American
Statistical Association, 66: 373-374.
Corey Phelps, PhD
Asst. Professor, Management & Organization
Neal & Jan Dempsey Faculty Fellow
Michael G. Foster School of Business
University of Washington
Box 353200
Seattle, WA 98195
(206) 543-6579
www.coreyphelps.com
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Verkuilen, Jay
> Sent: Saturday, December 08, 2007 1:02 PM
> To: [email protected]
> Subject: st: RE: 2SLS, logistic regression and more (problems...)
>
> Tatjana Oberd�rster wrote:
>
> >>I'd like to do a 2SLS estimation where the first-stage
> regression is Logistic. [snip] <<
>
> I suggest looking at GLLAMM, the freely downloadable program
> that can be found at http://www.gllamm.org.
>
> Jay
> --
> J. Verkuilen
> Assistant Professor of Educational Psychology
> City University of New York-Graduate Center
> 365 Fifth Ave.
> New York, NY 10016
> Email: [email protected]
> Office: (212) 817-8286
> FAX: (212) 817-1516
> Cell: (217) 390-4609
>
>
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