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From |
"jake10002002" <jake10002002@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: 2SLS with Probit in the first-stage regression |

Date |
Mon, 13 Sep 2004 17:09:50 -0000 |

Thank you Mark and Jean! Your answers were very helpful for me. Jake --- In statalist@yahoogroups.com, "Mark Schaffer" <M.E.Schaffer@h...> wrote: > Jake, > > As Jean points out, you can use the two-step procedure described by > Wooldridge, and the SEs will be correct. > > You can also use standard IV - the SEs with IV will also be correct. > The Wooldridge procedure is more efficient; the advantage of using IV > is that you can do overidentification test (using -ivreg2- or > -overid-). > > Another possibility is to use Stata's -treatreg-. This gives you > either MLE or two-step estimation, and in both cases reports valid > standard errors. MLE is more efficient than two-step, which is more > efficient than the Wooldridge procedure, which is more efficient than > IV. > > FYI, this question comes up fairly frequently on Statalist: here's an > example from this past July: > > http://www.stata.com/statalist/archive/2004-07/msg00710.html > > Hope this helps. > > --Mark > > Date sent: Mon, 13 Sep 2004 15:23:54 +0200 > To: statalist@h... > From: jean ries <ries@i...> > Subject: Re: st: 2SLS with Probit in the first-stage regression > Send reply to: statalist@h... > > > Jake, > > > > Have a look at Wooldridge (2002), pages 623-625. He discusses the > > situation you are facing. He suggests the following procedure: > > > > . probit w x1-xn z > > . predict ghat > > . ivreg y x1-xn (w = ghat) > > > > where: > > y ==> outcome > > x1-xn ==> exogenous variables > > w ==> endogenous binary variable > > z ==> instrument > > > > Wooldridge shows that in this procedure the 2SLS standard errors > > remain valid. He also discusses the procedure you seem to have used: > > > > . probit w x1-xn z > > . predict ghat > > . regress y x1-xn ghat > > > > and points to the problems that arise by doing so. > > > > Reference: > > Jeffrey M. Wooldridge, Econometric Analysis of Cross Section and Panel > > Data, MIT Press, 2002. > > > > > > best wishes, > > > > jean > > > > At 05:30 13/09/2004, you wrote: > > >Hi, > > >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! > > >Thanks, > > >Jake > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > 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 > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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