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From |
"Camille Saint-Macary" <Camille.Saint-Macary@uni-hohenheim.de> |

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

Subject |
st: ivprobit with plot level data and household endogenous variable |

Date |
Mon, 30 Jun 2008 10:21:29 +0200 |

Hi all, I have a question concerning the use of ivprobit. I'm modeling the adoption of certain agricultural technology on land at the plot level. One of my regressor is a credit constrained dummy variable which I suspect to be endogenous and I want to instrument. 1. if I use ivprobit, --> ivprobit Y X (D=Z) It seems that the instrument equation is estimated with OLS--> which gives me a predicted probability to adopt (2nd stage) ranking from -4.12 to 2.87, I guess this is not good, the rest of the model however is fine... 2. As suggested in previous posts, I then use ivprobit and use the predicted variable as an instrument: 1. probit D Z X 2. predict D* 3. ivprobit Y X (D=D*) The results are quite different from the first regression and Wald test rejects endogeneity. 3. One problem I suspect is that I'm running all at the plot level (household have different number of plots) but my endogenous variable is a household level variable as well as Z my instrument--> households with high number of plots are overweighted... But there are plot specific variables in X --> so for identification condition I need to include all X in the first stage right? Or should I run the first regression at the household level and include the predicted probability as a regressor? Many thanks for your suggestions! Camille * * 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: RE: gllamm or else?***From:*Andrea Bennett <mac.stata@gmail.com>

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