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st: 2SLS with the first stage being a probit.


From   "Hui Wang" <jackie_stata@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2SLS with the first stage being a probit.
Date   Tue, 10 Oct 2006 02:52:06 +0000

Hi all,

I'd like to know that whether there is any command in stata allowing me to conduct a 2SLS regression with the 1st stage being a probit regression regressing endogenous variable on instruments.

I tried to program the above 2SLS. First do the probit and get the predict value and then use the predicted value to replace the endogenous variable in the 2nd stage regression. But the problem is that the observation number of the two stages are not the same. This is not the case when I use the command like 'ivreg'. If I have to write a program to conduct the 2SLS mentioned above, how should I do in order to get equal observation in the two stage regressions?

Thank you.

Jackie

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