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Re: st: 2SLS with Probit in the first-stage regression
Seems like two stage probit is the flavour of the month! I have recently read
a paper that does what you did (Bernheim et al 2001) and to get the standard
errors, he uses the bootstrap. Not sure if the results are reliable, but a
simple way of incorporating predicted values into your second stage.
Quoting Jake Herb <email@example.com>:
> I’d like to do a 2SLS estimation where the first-stage
> regression is Probit.
> For example, the model is
> y = a + b1X1 + b2X2 + u
> where X1 is an endogenous binary variable.
> I’d like to instrument X1 with Z1 and Z2 where the
> first-stage regression is a Probit
> X1 = a + b1Z1 + b2Z2 + b3X2 + e
> I tried to use ivreg but it seems the first-stage
> regression ivreg does is OLS rather than Probit.
> Although I can do the first-stage Probit regression
> manually and then use the predicted X1 in the
> second-stage regression, I don’t think it is accurate
> since the OLS standard errors of the second-stage
> regression will be incorrect in such a case.
> Does Stata has a procedure that does 2SLS with Probit
> in the first-stage?
> Any suggestions would be greatly appreciated!
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