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st: 2SLS witht a probit first stage regression


From   "Hui Wang" <jackie_stata@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2SLS witht a probit first stage regression
Date   Sat, 07 Oct 2006 14:57:04 +0000

Hi,

Is there any command to allow a 2SLS regression with the first stage being a
probit regressing endogenous variable on instrument variables?

I also tried to program 2SLS in stata by myself (get the predict value in
the first stage and replace the endogenous variable with the predicted value
in the second stage). The problem is that the observation number is not the
same in the 2 stages, not like what I observe when using 'ivreg' with
',first' option. The IV estimation is also different.  How should I adjust
the programming to get the same observation number in the 2 stages?

Thanks,

Jackie

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