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השב: Re: st: logit model with endogenous
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
השב: Re: st: logit model with endogenous
Date
Tue, 25 Mar 2014 16:42:55 +0200
Dr. Yuval Arbel, School of Business, Carmel Academic Center,Haifa, Israel
Richard Williams <[email protected]> wrote:
>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
>> >> *
>> >> * For searches and help try:
>> >> * http://www.stata.com/help.cgi?search
>> >> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> >> * http://www.ats.ucla.edu/stat/stata/
>> >
>> > -------------------------------------------
>> > Richard Williams, Notre Dame Dept of Sociology
>> > OFFICE: (574)631-6668, (574)631-6463
>> > HOME: (574)289-5227
>> > EMAIL: [email protected]
>> > WWW: http://www.nd.edu/~rwilliam
>> >
>> > *
>> > * For searches and help try:
>> > * http://www.stata.com/help.cgi?search
>> > * http://www.stata.com/support/faqs/resources/statalist-faq/
>> > * http://www.ats.ucla.edu/stat/stata/
>>
>>
>>*
>>* For searches and help try:
>>* http://www.stata.com/help.cgi?search
>>* http://www.stata.com/support/faqs/resources/statalist-faq/
>>* http://www.ats.ucla.edu/stat/stata/
>
>-------------------------------------------
>Richard Williams, Notre Dame Dept of Sociology
>OFFICE: (574)631-6668, (574)631-6463
>HOME: (574)289-5227
>EMAIL: [email protected]
>WWW: http://www.nd.edu/~rwilliam
>
>*
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>* http://www.ats.ucla.edu/stat/stata/
*
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