1 year ago
#300911
Maria Mittelbach
How to correct standard errors standard errors in a multinomial logit using IV
I am trying to estimate a multinomial logit model using an instrumental variable. I didn't find any preexisting package, so I tried to estimate using a two-stage approach.
First estimating the first stage as an OLS with the IV
tsls1<-lm(d~x+z)
Then I used
d.hat<-fitted.values(tsls1)
With that, I used multinom function from the nnet.
tsls2<-multinom(y~x+d.hat)
The problem is that the standard errors are wrong. I was wondering how I could correct them. Or if there is an easier way.
standard-error
mlogit
nnet
0 Answers
Your Answer