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st: RE: ivprobit first stage


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ivprobit first stage
Date   Fri, 28 Jul 2006 12:16:00 +0100

Grazia,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> grsanta@unict.it
> Sent: Friday, July 28, 2006 11:58 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: ivprobit first stage
> 
> Dear Statalisters,
> 
> I am trying to run an instrumental variables estimation 
> estimation where the first step is an OLS regression and the 
> second a probit model. To do so, I am using ivprob in STATA 
> 8.2 (ivprob depva, endog(varlist) iv(varlist) exog(varlist)).
> 
> I would like to look at the first stage estimations and doing 
> a test of the validity of instruments I am using. But, when I 
> include the "twostage first" command advised in STATA 9 help 
> in the above sintax
> 
> ((ivprob depva, endog(varlist) iv(varlist) exog(varlist), 
> twostage first),
> 
> I get the following message: "invalid 'twostage' " .

This is because the ivprob in Stata 8.2 is a user-written command that doesn't support this option, and the ivprobit in Stata 9 that the manual refers to is Stata's official ivprobit and does support this option.

You either need to update to Stata 9, or do the test by hand in Stata 8.

Cheers,
Mark


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
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert


> As far 
> as the test on instruments validity is concerned, can anyone 
> advise me on how to proceed?
> 
> Many thanks
> 
> Grazia
> 
> --
> Grazia Santangelo, PhD
> FacoltÓ di Scienze Politiche
> UniversitÓ degli Studi di Catania
> Via Vitt. Emanuele, 8
> 95131 Catania
> ITALY
> <grsanta@unict.it>
> Tel. +39.095.7340119
> Fax +39.095.7340139
> http://www.fscpo.unict.it/docenti/prof.ssa_Santangelo.htm
> 
> 
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