> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Arif Mamun
> Sent: Saturday, May 07, 2005 5:42 PM
> To: [email protected]
> 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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