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Re: st: about ivprobit


From   wangxin <xwang757@yahoo.com.cn>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: about ivprobit
Date   Fri, 1 Aug 2008 07:36:53 -0700 (PDT)

I did use MLE of -ivprobit- . Thanks a lot, this is
helpful.

-Xin

--- "Brian P. Poi" <bpoi@stata.com> wrote:

> 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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