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Re: st: iv probit

From   "Brian P. Poi" <>
Subject   Re: st: iv probit
Date   Sat, 24 Jun 2006 16:43:13 -0500 (CDT)

On Fri, 23 Jun 2006, Elizabeth Wiemers wrote:

I am under the impression that when an ivprobit command is used in
STATA, the first stage is estimated as a regular OLS, with a continuous
dependent variable, and the second stage is estimated as a probit.  Is
this correct?



In the simplest version of the two-step IV probit estimator, yes, the first stage is OLS regression, and the second stage is probit, including both the fitted values from the first stage and the first-stage residuals as regressors (including the residuals is key).

The actual two-step estimator that -ivprobit- uses is a bit more complex, because it is actually a weighted combination of two different estimators; see the Methods and formulas of [R]ivprobit. The first stage, though, is indeed OLS regression.

The maximum likelihood estimator is done in one step; there is no first and second step.

Hope this helps

-- Brian Poi

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