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From |
Renuka Metcalfe <rm18203@yahoo.co.uk> |

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

Subject |
st: 2SLS with probit in the first stage regression |

Date |
Fri, 15 Feb 2008 13:04:41 +0000 (GMT) |

Thank you, Kit. I should have mentioned also that my original equation which has one of the RHS regressors as potentially endogenous is a random effects GLS model. Also I should have pointed out I am using cross-section data. Would your kind answer still apply? I appreciate your reply greatly. Thanks Renuka Please read the Baum-Schaffer-Stillman paper, SJ 2007 (preprint available from my website below) on this subject. You can estimate the equation with an endogenous dummy consistently with IV, and in our -ivreg2- you can use the endog() option to test whether that variable must be considered endogenous. You can use -xtivreg2- to perform a fixed effect model, as -xtivreg2- has the same options available as does -ivreg2- in terms of endogeneity tests. Kit Baum, Boston College Economics and DIW Berlin http://ideas.repec.org/e/pba1.html An Introduction to Modern Econometrics Using Stata: http://www.stata-press.com/books/imeus.html On Feb 15, 2008, at 2:33 AM, Renuka wrote: I would like to find out if training which is one of my RHS variable is an endogenous variable. The original regression was a pay equation as follows: .xtreg y training meanworkplacetraining x2 x3 x4 I used xtreg as the data are grouped across workplaces and considered to be a less biased OLS estimator. Training is a binary variable, dummy=1 if they have had training and 0 otherwise and the data is cross-section data. I left out the meanworkplace training for now. I want to deal with one endogenous variable at a time. I did: .probit training x2 x3 x4 z where z = my instrument I then did: predict ghat I then issued: .ivreg pay x2 (training = ghat) x3 x4 Part of what I got is: Number of obs = 14321 F( 58, 14262) = 115.93 Prob > F = 0.0000 R-squared = 0.3104 Adj R-squared = 0.3076 Root MSE = .49362 Coef. Std. Err. t P>|t| - -------------+---------------------------------------- training |.2904799 .116244 2.50 0.012 Can I take interpret that the training variable is not endogenous? I would be grateful if anyone would tell me if I have done it correctly to find out if my training variable is endogenous and if it is endogenous. If I have done it incorrectly what would be the correct way to go about it. * __________________________________________________________ Sent from Yahoo! Mail - a smarter inbox http://uk.mail.yahoo.com * * 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/

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