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Re: st: ivprobit error message, outreg, lnsigma and athrho


From   "Brian P. Poi" <bpoi@stata.com>
To   Statalist Statalist <statalist@hsphsun2.harvard.edu>
Subject   Re: st: ivprobit error message, outreg, lnsigma and athrho
Date   Thu, 30 Nov 2006 11:04:48 -0600 (CST)

On Thu, 30 Nov 2006, Nirina F. wrote:

Hello List,
1- I am running ivreg and it works fine but I would
like to run ivprobit (as I have binary choice for my
dependent variable) and it gives me the following
error: inital vector: matrix must be dimension 126
r(503). I don't know what to do to correct it.

Are you using the "from()" option to specify initial values? If so, then you need to specify a row vector with 126 elements.

If you are not using the "from()" option, then this could be a bug with -ivprobit-. In that case, if you send directly to me (bpoi@stata.com) your dataset along with the exact syntax you are using, I'd be happy to look into it.


3-Can somebody explain me the interpretation of the
lnsigma and athrho please?
Thanks a lot in advance,
Nirina


lnsigma and athrho are transformations of sigma and rho that are used in the estimation process. What you care about are sigma and rho, reported below lnsigma and athrho in the output. Sigma is the variance of the reduced-form equation for the endogenous regressor. The more interesting parameter is rho, which is the correlation between the errors in the probit equation and the reduced-form equation for the endogenous regressor. Rho being equal to zero is equivalent to saying that the variable you suspect to be endogenous is in fact exogenous; in other words, if the estimated rho is insignificant, then we cannot reject the null that there is no endogeneity issue and a plain probit regression could be used.

-- Brian Poi
-- bpoi@stata.com


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