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st: RE: iv probit


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   "Michael Barnes" <michael_barnes_30@hotmail.com>, <statalist@hsphsun2.harvard.edu>
Subject   st: RE: iv probit
Date   Fri, 18 May 2007 08:07:08 +0100

Michael,

> -----Original Message-----
> From: Michael Barnes [mailto:michael_barnes_30@hotmail.com] 
> Sent: 18 May 2007 01:35
> To: statalist@hsphsun2.harvard.edu
> Subject: iv probit
> 
> Hi:
> 
> I'm trying to do IV probit on Stata, but am having very 
> little success.  My model is:
> 
> y=bo + b1x1 +b2x2 + e, z;  where y is binary (0,1), x1 is a 
> set of binary
> (0,1) rhs variables (both exogenous and endogenous), x2 is a 
> set of continuous variables (both exogenous and endogenous), 
> and z is a set of instruments for the endogenous variables in 
> x2 and x1.  Depending on the specification of the model, it 
> may be overidentified.
> 
> I am having problems doing a two-stage (iv) probit approach.  
> Do you know of a canned module available for stata that will 
> give me correct standard errors and efficient estimates with 
> the set up I am using?

Which version of Stata are you using?  Depending on the answer, it's
either built-in (which suggests you don't have Stata 9) or there's a
user-written IV probit available in the usual way.

findit iv probit

from within Stata should direct you to it.

--Mark

>  If not, what is the best way to 
> approach this problem?  Should I generate the first stage 
> predicted values seperately using OLS and probit, and then 
> use the generated predicted values in my second stage probit 
> regression?  If so how do I construct my var/cov. matrix?
> 
> Thanks for your help,
> Michael
> 
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