Re: Re: Re: st: xtivreg2 with endogenous binary regressors

[Javier Pérez <gjavierperezv@googlemail.com>]

That sounds reasonable for me Justina, thanks. Anayway, as Justina
said, we'd like to know the opinion of a theorist please...



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
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