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st: RE: 2SLS witht a probit first stage regression


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: 2SLS witht a probit first stage regression
Date   Sat, 7 Oct 2006 18:43:44 +0100

Jackie,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Hui Wang
> Sent: 07 October 2006 15:57
> To: statalist@hsphsun2.harvard.edu
> Subject: st: 2SLS witht a probit first stage regression
> 
> Hi,
> 
> Is there any command to allow a 2SLS regression with the 
> first stage being a probit regressing endogenous variable on 
> instrument variables?

-treatreg- is what you are looking for.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
 
> 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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