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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: difference between -treatreg- and -ivreg- |

Date |
Tue, 7 Aug 2007 21:11:07 +0100 |

Kyle et al., > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kyle Hood > Sent: 07 August 2007 20:54 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: difference between -treatreg- and -ivreg- > > I think that ivreg and treatreg make different assumptions > about how the endogenous RHS variables are related to the > instruments. In the former, the instruments are related > linearly to a continuous, perfectly observed endogenous > variable. In the latter, instruments are linearly related to > an unobserved, latent continuous variable; if this variable > is above some threshold, the binary endogenous variable is > observed as a 1 and is 0 otherwise. This part of the picture. treatreg tries to get efficiency gains by modelling the equation with the binary endogenous variable as a probit; it is, in effect, a system estimator. ivreg (or ivreg2) is a single-equation estimator. The usual robustness-vs-efficiency tradeoff applies: if the probit eqn is misspecified, treatreg will be inconsistent, including the main equation; if it's correctly specified, it's more efficient than IV. But IV will be consistent in both cases. For more details and some other options, see my other posting. Cheers, Mark > On Tue, 7 Aug 2007, Prabal Kr. De wrote: > > > Thanks, but let me be more specific: > > what is the difference between -treatreg- and -ivreg? > > Are they same in case the endogenous variable is binary? > > Thanks again, > > Prabal > > --- Kyle Hood <kyle.hood@yale.edu> wrote: > > > >> Of the three commands you have asked about, only one allows for a > >> dependent variable that is discrete (ivprobit). I believe > this would > >> be the appropriate choice. > >> > >> On Tue, 7 Aug 2007, Prabal Kr. De wrote: > >> > >>> hi! > >>> I wanted to know what is the difference between > >>> -treatreg- and -ivreg- or -ivprobit- command. For > instance if I have > >>> a dummy dependent variable and > >> a > >>> dummy endogenous variable and a continuous > >> instrument, > >>> which one is more appropriate. > >>> Thanks in advance, > >>> Prabal > >>> > >>> > >>> > >> > > > ______________________________________________________________________ > > ______________ > >>> Fussy? Opinionated? Impossible to please? Perfect. > >> Join Yahoo!'s user panel and lay it on us. > >> > > http://surveylink.yahoo.com/gmrs/yahoo_panel_invite.asp?a=7 > >>> > >>> * > >>> * For searches and help try: > >>> * > >> http://www.stata.com/support/faqs/res/findit.html > >>> * http://www.stata.com/support/statalist/faq > >>> * http://www.ats.ucla.edu/stat/stata/ > >>> > >> * > >> * For searches and help try: > >> * > >> http://www.stata.com/support/faqs/res/findit.html > >> * http://www.stata.com/support/statalist/faq > >> * http://www.ats.ucla.edu/stat/stata/ > >> > > > > > > > > > > > ______________________________________________________________________ > > ______________ Building a website is a piece of cake. Yahoo! Small > > Business gives you all the tools to get online. > > http://smallbusiness.yahoo.com/webhosting > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: difference between -treatreg- and -ivreg-***From:*Kyle Hood <kyle.hood@yale.edu>

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