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Re: st: ivprobit error message, outreg, lnsigma and athrho
On Thu, 30 Nov 2006, Nirina F. wrote:
Are you using the "from()" option to specify initial values? If so, then
you need to specify a row vector with 126 elements.
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.
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 (email@example.com)
your dataset along with the exact syntax you are using, I'd be happy to
look into it.
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.
3-Can somebody explain me the interpretation of the
lnsigma and athrho please?
Thanks a lot in advance,
-- Brian Poi
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