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From |
nicola.baldini2@unibo.it |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sat, 16 Feb 2008 12:09:44 +0100 |

-ivreg2- and thus -xtivreg2- both from SSC have a lot of tests. Have a look at them... P.S. "grouped" makes me think about a cluster option rather than a panel command P.P.S. don't forget to have a lot at -cmp- (from ssc, too), which lets you combine several commands (and thus e.g. to allow different instruments for different endogenous variables) in order to make some 2SLS-like estimations Nicola At 02.33 15/02/2008 -0500, Renuka Metcalfe wrote: >Hi > >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. * * 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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