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From   "Stephan Brunow" <stephan.brunow@tu-dresden.de>
To   <statalist@hsphsun2.harvard.edu>
Date   Thu, 10 May 2007 21:58:54 -0400 (EDT)

fi4146bd0361dcafb@mail.gmail.com>
In-Reply-To: <fcffff0d0705100957g7819335fi4146bd0361dcafb@mail.gmail.com>
Subject: AW: st: 2SLS and Probit
Date: Thu, 10 May 2007 21:16:58 +0200
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Austin, of course. There is that particular warning! However, if I run
exactly the steps of that faq with "hand made" regression, these structural
equation results are exactly the same as if I do it with -reg3- and the
option 2SLS (as long as the Y-variables are continuous). My, or better the
students question is: What is with dummy coded Y-variables in a system of
equations. How could he do the correction of the standard errors...
Stephan

-----Urspr=FCngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Austin Nichols
Gesendet: Donnerstag, 10. Mai 2007 18:57
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: 2SLS and Probit

Stephan Brunow --
Note that the FAQ you cite contains the "Warning: Instrumental
variables are commonly used to fit simultaneous systems models. What
follows is not appropriate for such models." However, -ivreg- (or
better, -ivreg2- avail via -ssc inst ivreg2, replace-) and -treatreg-
are both good options for estimating a regression of continuous Y on
endogenous indicator variable X using instruments Z, though they may
give quite different answers.

ssc inst ivreg2, replace
ssc inst esta, replace
clear
use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
reg lw80 lw s expr mrt
est sto ols
ivreg2 lw80 lw s expr (mrt=3Dmed iq age)
est sto iv
treatreg lw80 lw s expr, treat(mrt=3Dmed iq age lw s expr)
est sto treat
esta *, mti keep(mrt) lab se

On 5/10/07, Stephan Brunow wrote:
> 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 =96 as usual =96 2SLS. To o=
ur
> 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?
>
> http://www.stata.com/support/faqs/stat/ivr_faq.html

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