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Re: st: about ivprobit


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: about ivprobit
Date   Fri, 1 Aug 2008 08:17:18 -0500 (CDT)

On Thu, 31 Jul 2008, wangxin wrote:

After using the ivprobit, how can stata report the
predicted value for the first stage? Specifically, the
predicted value for the endogenous variable.

Xin did not mention whether the maximum likelihood or two-step version of -ivprobit- is being used, so I'll address both.

For the maximum likehood (default) version, although -predict- after -ivprobit- does not have an option for the predicted values for the reduced-form equation for the endogenous regressor, they can be obtained using -matrix score-:

. sysuse auto
. ivprobit foreign mpg (gear = turn head)
. matrix b = e(b)
. matrix score ghat = b, eq(#2)

In the coefficient vector e(b), the first equation is the main response equation, and the second equation contains the equation for the endogenous regressor. If you have, say, two endogenous regressors, then the coefficients are stored in equations two and three.

For the two-step estimator, e(b) only contains the coefficients for the main equation. However, in this case the "first-stage" equations are fit using OLS, so you can just re-fit those equations using -regress-, then use -predict- afterwards.

-- Brian Poi
-- bpoi@stata.com
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