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RE: st: about ivprobit

From   "Jiang, Frank" <>
To   <>
Subject   RE: st: about ivprobit
Date   Sun, 3 Aug 2008 18:22:34 -0400

Hello Brain,
Is there a command similar to ivprobit but is designed for ordered probit?


From: on behalf of Brian P. Poi
Sent: Fri 8/1/2008 9:17 AM
Subject: Re: st: about ivprobit

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
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