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st: probit/linear vs. treatreg


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: probit/linear vs. treatreg
Date   Fri, 8 Aug 2003 17:46:28 +0100

Ron,

Can you describe the two-step estimation procedure you're using and 
what you're doing with -treatreg-?

-treatreg- is a system estimator for a 2-equation system in which 
there is an equation for an endogeneous 1/0 variable, and an equation 
for a continuous dep var in which the endog 1/0 variable appears on 
the RHS.

If you run -treatreg- with the -twostep- option, it first estimates 
the equation for the 1/0 variable using a probit, and then estimates 
the equation for the continuous dep var a la Heckman.  This sounds 
like what you're doing by hand, so I'm not sure why there should be a 
difference.  Perhaps you ran -treatreg- without the -twostep- option? 
This would mean -treatreg- is doing a maximum likelihood estimation 
of the system, and so the results would indeed be different from a 
two-step estimation.

--Mark

Date sent:      	Fri, 8 Aug 2003 11:54:12 -0400 (EDT)
From:           	Ronald Rutherford <RRutherford@utsa.edu>
To:             	"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject:        	st: Date: Fri, 8 Aug 2003 10:54:10 -0500 
Send reply to:  	statalist@hsphsun2.harvard.edu

> Can anyone tell me why I get significantly different results using a two
> step probit/linear model for endogenity corrections versus the results
> obtained using the same set of regressors in a treatreg model?
> 
>  Ron Rutherford
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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*   http://www.ats.ucla.edu/stat/stata/



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