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st: Endogenous Treatment Effects Model


From   Michael Furukawa <mifuruka@wharton.upenn.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Endogenous Treatment Effects Model
Date   Thu, 11 Dec 2003 22:04:42 -0500 (EST)

Greetings,

I am interested in estimating an endogenous treatment effects model of the
form:

y = X*Beta + d*Alpha + e
d = I(Z*Gamma + v > 0)

y is continuous although I am also interested in using discrete and count
data as well.

I am trying to estimate a first-stage probit and create the generalized
(probit) residuals to include as a correction term in a second-stage OLS
regression. Does anyone know any Stata programs that will create the
generalized residuals?

Also, does anyone have experience with a multinomial logit or probit (4
choices) first-stage and creating generalized residuals as control
functions?

Thanks for any help,
Mike Furukawa


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