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st: RE: [Stata 9]: Bug in ivprobit, twostep?


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: [Stata 9]: Bug in ivprobit, twostep?
Date   Sat, 7 May 2005 18:41:53 -0500

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Arif Mamun
> Sent: Saturday, May 07, 2005 5:42 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: [Stata 9]: Bug in ivprobit, twostep?
> 
> Hi,
> 
> In Stata 9, I am trying to implement ivprobit, twostep with the option
> "first". But the output doesn't provide any report of the first stage
> regression. Any idea about why this is happening?
> 


At least with the sample auto dataset, this doesn't appear to be problem:


. sysuse auto
(1978 Automobile Data)

. ivprobit fore price (mpg = weight) , twostep first
First stage regression

      Source |       SS       df       MS              Number of obs =
74
-------------+------------------------------           F(  2,    71) =
66.85
       Model |  1595.93249     2  797.966246           Prob > F      =
0.0000
    Residual |  847.526967    71  11.9369995           R-squared     =
0.6531
-------------+------------------------------           Adj R-squared =
0.6434
       Total |  2443.45946    73  33.4720474           Root MSE      =
3.455

----------------------------------------------------------------------------
--
         mpg |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
      weight |  -.0058175   .0006175    -9.42   0.000    -.0070489
-.0045862
       price |  -.0000935   .0001627    -0.57   0.567     -.000418
.0002309
       _cons |   39.43966   1.621563    24.32   0.000     36.20635
42.67296
----------------------------------------------------------------------------
--

Two-step probit with endogenous regressors        Number of obs   =
74
                                                  Wald chi2(2)    =
11.36
                                                  Prob > chi2     =
0.0034

----------------------------------------------------------------------------
--
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
         mpg |    .584822   .1734973     3.37   0.001     .2447736
.9248705
       price |     .00058   .0002101     2.76   0.006     .0001683
.0009917
       _cons |  -17.76909   5.316723    -3.34   0.001    -28.18968
-7.348507
----------------------------------------------------------------------------
--
Instrumented:  mpg
Instruments:   price weight
----------------------------------------------------------------------------
--
Wald test of exogeneity:     chi2(1) =    13.53           Prob > chi2 =
0.0002


Scott



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