Re: st: 2sls with discrete endogenous regressor

[Megan Stevenson <m_stevenson@berkeley.edu>]

Thanks Austin - biprobit is not what I am looking for since it
estimates both equations simultaneously.  The Millimet paper looks
interesting, I will take a look at that today.

On Wed, Sep 11, 2013 at 7:35 AM, Austin Nichols <austinnichols@gmail.com> wrote:
> Megan Stevenson <m_stevenson@berkeley.edu>:
> Did you follow the link? It describes several models, including the
> -biprobit- approach.
> See also:
> http://www.nber.org/papers/w15539
> http://faculty.smu.edu/millimet/code.html
>
> On Wed, Sep 11, 2013 at 3:02 AM, Megan Stevenson
> <m_stevenson@berkeley.edu> wrote:
>> David - You are correct that there is no reason to be concerned with
>> reverse causality here.  However there is a large selection bias
>> problem, thus the need for an instrument for incarceration.
>>
>> Austin - I am looking for a non-linear model since the data is heavily
>> skewed and assuming a linear relationship between the covariates and
>> the outcome is creating a distortion.  A linear model will of course
>> be useful as a robustness check.
>>
>> Does anyone know of a 2sls package with discrete endogenous variables?
>>  If such a thing doesn't exist I can write the code to calculate the
>> standard errors myself but it seems like it is a common enough need
>> that someone would have already built the tool.
>>
>> Thanks!
>>
>> On Tue, Sep 10, 2013 at 9:54 PM, Austin Nichols <austinnichols@gmail.com> wrote:
>>> Megan Stevenson <m_stevenson@berkeley.edu>:
>>> Start with -ivreg2- (SSC) and a linear model, but see also
>>> http://www.stata.com/meeting/chicago11/materials/chi11_nichols.pdf
>>>
>>> On Tue, Sep 10, 2013 at 5:57 PM, Megan Stevenson
>>> <m_stevenson@berkeley.edu> wrote:
>>>> Is anyone familiar with a package that will allow you to do a 2sls
>>>> regression where both the endogenous dependent variable and the main
>>>> dependent variable are binary?  I am trying to identify the
>>>> probability of future arrest on having been incarcerated, with an
>>>> instrument for incarceration.
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