Danny Cohen-Zada <[email protected]>:
You have more to worry about than correcting SEs--that does not sound
like a consistent estimator; see e.g. pp 12-13 of
http://www.nber.org/family/WNE/lect_6_controlfuncs.pdf
viz.
"Plugging in fitted values for y2 only works in the case where the
model is linear in y2"
On Wed, Jun 18, 2008 at 12:47 PM, Danny Cohen-Zada <[email protected]> wrote:
> 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
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