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st: iv probit


From   "Michael Barnes" <michael_barnes_30@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: iv probit
Date   Thu, 17 May 2007 17:35:08 -0700

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Hi:

I'm trying to do IV probit on Stata, but am having very little success.  My
model is:

y=3Dbo + 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 o=
f
a canned module available for stata that will give me correct standard
errors and efficient estimates with the set up I am using?  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 generate=
d
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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