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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: 2SLS with the first stage being a probit
Date   Tue, 10 Oct 2006 06:59:54 -0400

findit cdsimeq

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Oct 10, 2006, at 2:33 AM, statalist-digest wrote:


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?
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