Re: st: logit model with endogenous

[Richard Williams <richardwilliams.ndu@gmail.com>]

Thanks John. When I worked with LISREL, I would do things like zap 
most of the matrices, e.g. all the observed variables would be Ys (no 
Xs), all the latent variables would also be in a single set of 
matrices rather than be split between exogenous and endogenous. This 
gave me a great deal of flexibility, e.g. I culd have correlated 
measurement errors between observed Xs and observed Ys. I haven't 
played around with SEM too much; I did find that a trick I thought 
should work had a terrible time converging. That was a while back 
though. I should see if things are working better now. It would be 
nice if you could do some things without having to use "tricks" to 
get them; my impression is that MPLUS may be better in this respect.
At 03:42 AM 3/25/2014, John Antonakis wrote:
> [I don't think that this went through on the first send--resending]
>
> Hi Richard:
>
> -gsem- does not allow an explicit correlation of disturbances; thus, 
> if the mediator is endogenous, the estimator will not be consistent. 
> Thus, one is better off using ivprobit or cmp (from SSC). With gsem 
> one would have to do a couple of tricks to get going as an 
> instrumental-variable estimator. Here is a work-around that Stata's 
> tech support gave me when I pinged them on this question, which I 
> used to do with MPlus but had trouble doing it when using Stata. The 
> solution is quite straight forward and includes modeling an extra 
> latent variable, "L":
>   cmp setup
>   webuse laborsup, clear
>   replace fem_inc = fem_inc - 10
>   cmp (fem_work =  fem_educ kids) ///
>       (other_inc = fem_work fem_educ kids male_educ), ///
>       ind($cmp_probit $cmp_cont)
>
>   gsem (fem_work <- fem_educ kids L@1, probit) ///
>        (other_inc <- fem_work fem_educ kids male_educ L), var(L@1)
>
>   /* Coefficients in the other_inc equation match */
>   /* Probit assumes an error variance of 1, but we have added
>    *    and extra variance of 1 from L. */
>   /* To obtain probit coefficients, we can divide by the
>    *    square root of 2 */
>
>   nlcom (fem_educ : _b[fem_work:fem_educ] / sqrt(2)) ///
>         (kids : _b[fem_work:kids] / sqrt(2)) ///
>         (cons : _b[fem_work:_cons] / sqrt(2))
>
>   /*  We also need to back transform results in order to obtain sigma and
>    *  rho that are reported by -cmp-. */
>
>   nlcom (sig: sqrt(_b[var(e.other_inc):_cons] +_b[other_inc:L]^2)) ///
>         (rho: _b[other_inc:L]/(sqrt(2)*sqrt(_b[var(e.other_inc):_cons] ///
>       + _b[other_inc:L]^2)))
>
> Best,
> J.
>
> __________________________________________
>
> John Antonakis
> Professor of Organizational Behavior
> Director, Ph.D. Program in Management
>
> Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor:
> The Leadership Quarterly
> Organizational Research Methods
> __________________________________________
>
> On 24.03.2014 02:04, Richard Williams wrote:
> > Unclear. Do you mean you tried ivprobit, and it would not run? Or are
> > you saying you don't think ivprobit is appropriate? If the former,
> > show us the code and error messages. If the latter, explain what you
> > have against using probit instead. I think it is rare that some great
> > (or even small) harm would come from running a probit rather than a
> > logit.
> >
> > I haven't tried it, but i wonder if you could do something like an
> > ivlogit model using -gsem-.
> >
> > At 06:28 PM 3/23/2014, maggie zhang wrote:
> >> Hi,
> >>
> >> I need to run logit model with endogenous covariates. There is only
> >> ivprobit/ivtobit in stata. However, I could not run the probit
> >> regression for my model instead of the logit. What could I do?
> >>
> >> Thanks,
> >> Best,/Maggie
> >> *
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> >
> > -------------------------------------------
> > Richard Williams, Notre Dame Dept of Sociology
> > OFFICE: (574)631-6668, (574)631-6463
> > HOME:   (574)289-5227
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> >
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>
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-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

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