Dear stata members
I have a multinomial logit regression in which one of the covariates is
endogenous.
More specifically, the model is:
1) y1 = a0+a1*y2+a2*x1+a3*x2 (where y1 obtain the values
0,1,2)
2) y2 = b0+b1*x1+b2*x2+b3*z1 (z1 is an excluded instrument for y2)
To run this model, i first estimate equation 2 and obtain expected y2 and
then plug it in equation 1 (which is a multinomial logit regression). In
this case, i know that the standard error of the estimated a1 coefficient is
not correct. I also know that i must bootstrap the two stages together but I
do not know how to do it.
I will be thankful to anybody that can guide me in this issue.
Danny
Dr. Danny Cohen-Zada
Department of Economics
Ben-Gurion University of the Negev
P.O.Box 653
Beer-Sheva 84105
Israel
Tel: +972-8-6472301
Fax: +972-8-6472941
http://www.econ.bgu.ac.il/facultym/danoran/main.htm
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