Instrumental Variables for Multinomial Models

[Nicolas Cabezas]

Hi everyone,

I am trying to apply an Instrumental Variables (2SLS) model within a Logit/Probit multinomial model. I was wondering if anyone knows how to apply a model like this? I had thought that one possibility would be to estimate by GMM a model of 2SLS. But I wanted to know if there is another alternative.

Your help will be very much appreciated!

Thanks.

[Joro Kolev]

Check the user contributed command -cmp-.

Otherwise what you want to do is difficult, and not explored in the literature.

Some version of the control function approach might work.