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st: RE: RE: RE: control function with probit in first stage


From   "Schaffer, Mark E" <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: RE: control function with probit in first stage
Date   Fri, 13 Apr 2007 18:48:58 +0100

Deepak,

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Deepak Hegde
> Sent: Friday, April 13, 2007 6:20 PM
> To: [email protected]
> Subject: st: RE: RE: control function with probit in first stage 
> 
> Hi 
> 
> Mark, Thanks.
> 
> I am trying to explicitly use the *residuals* from my first 
> step (probit model used to predict treatment) as a regressor 
> in my primary model of interest.  I think -treatreg- uses the 
> *predicted values* of the treatment variable from probit instead.  

It uses the inverse Mills ratio, if I'm not mistaken.  Also if I'm not
mistaken, this is the standard two-step procedure.  Do you have a
specific reason not to use this, or perhaps a reference for the
procedure you want to follow?

Cheers,
Mark

> 
> So, ideas on how I can use the first stage residuals in the 
> second stage will be particularly appreciated..
> 
> Many Thanks,
> Deepak
> 
> 
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of 
> Schaffer, Mark E
> Sent: Friday, April 13, 2007 1:22 AM
> To: [email protected]
> Subject: st: RE: control function with probit in first stage 
> 
> Deepak,
> 
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of Deepak 
> > Hegde
> > Sent: 13 April 2007 05:36
> > To: [email protected]
> > Subject: st: control function with probit in first stage
> > 
> > Hi all,
> > 
> > I am trying to correct for a model with a potential 
> endogenous binary 
> > explanatory variable by using the control function approach.
> >  
> > Since my endogenous variable is binary, my first stage is a probit, 
> > and the second stage is OLS (with the estimated errors from the 
> > first-stage as one of the explanatory variables).
> > 
> > Can someone please point me to an easy way of implementing this in 
> > Stata to get correct standard errors and estimates?
> > Code/Routines will be particularly helpful, but I'll also 
> be thankful 
> > for illustrations, etc.
> 
> Why not use Stata's built-in -treatreg-?
> 
> --Mark
> 
> > Thanks a lot! 
> > --- Deepak
> >  
> 
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