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st: Newey's Two-Step Estimator & ivprobit postestimation


From   "Talip Kilic" <talipkilic@yahoo.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Newey's Two-Step Estimator & ivprobit postestimation
Date   Fri, 16 Jun 2006 00:07:58 -0400

Hi,

I am estimating an ivprobit model, in which I am instrumenting for two
endogenous regressors. As suspected and stated in the STATA manual, MLE,
the default option, does not lead to convergence and iterations never
end if one wants to instrument for more than one endogenous regressor in
the ivprobit model. Once the Newey's two-step estimator option is
specified, the ivprobit model with multiple endogenous regressors is fit
unproblematically. However, ivprobit postestimation tools are also not
available under the two-step option. In this respect, I am wondering
whether any one has had any experience with postestimation under
ivprobit two-step option and if so, would you be able to provide any
hints, suggestions or resources that would lead me to estimate marginal
effects in my case? Any guidance would be appreciated. Thank you.

Best,
Talip

Talip Kilic
American University
PhD Candidate, Economics

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