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From |
Sachin Chintawar <schint1@tigers.lsu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Simulating Instrumental Variable Probit Model |

Date |
Mon, 20 Apr 2009 15:40:38 -0600 |

Dear Statalist Users I was trying to simulate a probit model with endogenous regressor and increase the number of instruements to see how bias occurs due to increased instruements. Following Dr. Maartin's example and the Microeconometrics using Stata book I have created the following program (which ofcourse I am not satisfied due to glaring mistakes). I would greatly appreciate if you could give me some pointers and inputs that could help me fix it. ----------------------------Start Example--------------------------------------------------------------------------------------- global numobs 500 // sample size N global numsims "1000" // number of simulations set seed 123456789 capture program drop endoprob program endoprob, rclass version 10.1 drop _all set obs $numobs generate u = rnormal(0) generate mu = rnormal(0) generate x1 = rnormal(0) generate z1 = rnormal(0) // 4 Instruements generate z2 = rnormal(0) generate z3 = rnormal(0) generate z4 = rnormal(0) generate a = 0.5*u generate x2 = z1 + z2 + z3 + z4 + a regress x2 = z1 z2 z3 z4 mu // endogenous regressor with four instruments //capture x2hat generate y = 0.5 + 2*x1 + x2hat + mu + u //Reduced Form Equation ivprobit y x1 x2hat //Capture the betas and SD's end ------------------------------------End Example---------------------------------------------------------------------------------- 1. Well my first question is quite obvious how do I tell stata that my y is a probit 2. How do I capture xhat2 so I can get my ivprobit to work? 3. From the MUS book I understood that _b captures the scalar beta value but how can we capture the two parameters x1 and x2hat? I would greatly appreciate your help in this regard Sincerely Sachin * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: Re: Simulating Instrumental Variable Probit Model***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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