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st: multinomial probit/logit model with endogenous variables
From
xueliansharon <[email protected]>
To
[email protected]
Subject
st: multinomial probit/logit model with endogenous variables
Date
Sun, 15 May 2011 15:14:41 -0700 (PDT)
Dear all,
I want to estimate a multinomial probit/logit model, but I have 1 endogenous
variable in the model, and I have 2 IVs in hand. Is there anyway to address
the endogeneity problem? Or maybe I should use two-stage multinomial
probit/logit?
i.e.
1st-stage
regress y x1 x2 x3 I1 I2
predict yhat, xb
2nd-stage
mprobit z yhat x1 x2 x3
Is this method correct? (here, z is the multinomial dependent variable, y is
the endogenous variable, x1, x2, x3 are the exogenous variables, I1 and I2
are instruments)
Any help will be appreciated!
Sharon
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