Hi again,
this is a message posted earlier this morning within a larger text, so probably
was unnoticed:
Am trying to estimate a probit model with endogenous regressors, but can't
really understand the difference between the ivprob command and the ivprobit
command.
I read that ivprob implements Amemiya Generalized Least Squares (AGLS)
estimators whereas ivprob uses Maximum-Likelihood estimation procedures. Is the
difference then that AGLS carries out a sort of two-step procedure but
correcting standard errors that would otherwise (asymptotically) be less
efficient than maximum likelihood estimates?
Or is ivprob the same as ivprobit, but under different Stata versions?
I could not run ivprob in Stata 8.2 nor ivprobit in Stata 9.0. I tried both
commands under each respective versions and the results were very similar, but
not the same.
Once again, many thanks.
--
Alejandro de la Fuente
Department of International Development/QEH
University of Oxford, Mansfield Road, Oxford OX1 3TB
Tel: 01865 281836
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
