Re: st: two-stage model (probit --> mlogit)

[Maarten Buis <maartenlbuis@gmail.com>]

Sounds to me like a problem for -cmp-, see -findit cmp-.

Hope this helps,
Maarten

On Wed, Sep 19, 2012 at 5:19 PM, Ho Youn Koh <hykoh@umd.edu> wrote:
> Dear experts and statalists,
> I am trying to use a two-stage model to estimate the direct/indirect effect=
>  of new voting technology on turnout.
> I think there are some selection process in this new technology because vot=
> ers have to apply for it before the election day and they actually vote wit=
> h that new method (like an absentee ballot). So, in the first stage I want =
> to run a probit model to estimate whether or not the voter apply for the ne=
> w voting method. For the second stage I have a categorical dependent variab=
> le (actual voting method: new method, all other old methods, and didn't vot=
> e). So, I want to run a multinomial logit to see the independent effects of=
>  my independent vars on each outcome. Not knowing how to run two-stage mult=
> inomial logit (TMLM), I ran the first model (probit), then plugged the esti=
> mator into the second model(mlogit).
>
> // stage 1
> probit z x1 x2 x3 x4 x5
> predict double zhat  if e(sample), xb
> // stage 2
> mlogit y x4 x5 x6 x7 x8 zhat
>
> Note that x1 - x3 are only predicting z; but x4 - x5 are predicting both z =
> and y. Also x6 - x8 are predicting y only. Although the result looks making=
>  sense to me, I am left with following questions:
>
> 1) Is that statistically okay? How can I test iid of errors from stage 1 an=
> d 2?
> 2) What would be the acceptable test for the model?
> 3) Is there an alternative way to run TMLM in stata?
> 4) If the above way is acceptable, is it also okay to calculate predicted p=
> robabilities from the mlogit model? Or any other issues I should deal with =
> before getting predicted probabilities?
>
> Thank you.
>
> Hoyoun Koh
> phD Candidate
> Government & Politics
> University of Maryland, College Park
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Maarten L. Buis
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