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st: 2SLS and Probit

From   "Stephan Brunow" <>
To   <>
Subject   st: 2SLS and Probit
Date   Thu, 10 May 2007 09:13:09 +0200

Dear all,

one of our students has the problem to run a simultaneous equation system
(SEM) where the endogenous variables are discrete (0/1-outcomes).
One suggested method to solve that problem is – as usual – 2SLS. To our
knowledge there is no command in STATA doing this so that we have to compute
it on our own. However, as in the continue variable case, the standard
errors have to be corrected.
Does the following procedure of standard error adjustment also applies to
2SLS-probit models?

Many thanks again,


Stephan Brunow
MSc. in Economics und Diplom-Verkehrswirtschaftler
Professur für VWL, insb. Makroökonomik und
Institut für Wirtschaft und Verkehr
Fakultät für Verkehrswissenschaften „Friedrich List"
Technische Universität Dresden
D-01062 Dresden 

Phone: ++49-(0)351-463-36806
Fax: ++49-(0)351-463-36819

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