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st: RE: diagnostics for the treatreg procedure


From   "DL Millimet" <millimet@post.cis.smu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: diagnostics for the treatreg procedure
Date   Fri, 3 Jan 2003 14:47:58 -0600

if you look at the special issue of Jrnl of Eco Perspectives that has about
10 articles on various econometric models from a year or so ago, there is
one on IV methods by Angrist and Kreuger.  In there, they state that for
cases of endog. dummy variable, one is better off estimating the first stage
as a linear probability model, assuming my memory recalls this correctly,
since the second-stage is consistent no matter what, whereas if the
first-stage is a probit/logit, the second-stage is only consistent if the
probit/logit model is the "correct" model.  if i have this right, this may
mean you are fine using the ivreg2 command, and its overid test.

am i right on this?

dann




-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Ron Venezie
Sent: Friday, January 03, 2003 1:55 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: diagnostics for the treatreg procedure


I am evaluating a preventive program using the treatreg procedure in Stata
7.0.  My outcome variable is continuous, and participation in the
preventive program is indicated by an endogenous dummy variable.  Is
anyone aware of a way to test for overidentifying restrictions after using
the treatreg procedure?  My search of the Stata manual and FAQ list turned
up nothing.

Ron Venezie
Post-doctoral Fellow
Sheps Center for Health Services Research
UNC-Chapel Hill

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