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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

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

Subject |
st: Re: Re: Simulating Instrumental Variable Probit Model - Addendum |

Date |
Tue, 21 Apr 2009 19:24:38 +0200 |

<>

HTH Martin _______________________

To: <statalist@hsphsun2.harvard.edu> Sent: Tuesday, April 21, 2009 7:08 PM Subject: st: Re: Simulating Instrumental Variable Probit Model - Addendum

Dear Statalist Users Well adding to my earlier program I did find a few silly mistakes that I have cleaned up. Find a newer version of the program with more doubts. --------------------------------------------------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 $numobs generate u = rnormal(0) generate mu = rnormal(0) generate x1 = rnormal(0) generate z1 = rnormal(0) // 4 Instruements generate z2 = rnormal(0) generate z3 = rnormal(0) generate z4 = rnormal(0) // Also be written *drawnorm u mu x1 z1 z2 z3 z4 generate a = 0.5*u generate x2 = z1 + z2 + z3 + z4 + a regress x2 z1 z2 z3 z4 mu // endogenous regressor with four instruments predict px2 generate y = 0.5 + 2*x1 + px2 + mu + u>4 //Reduced Form Equation ivprobit y x1 px2 return scalar b2 = _b[x1] return scalar b3 = _b[px2] return scalar se2 = _se[x1] return scalar se3 = _b[px2] end simulate b2=r(b2) b3=r(b3) se2r=r(se2) se3r=r(se3), /// reps($numsims): endoprob mean b2 b3 se2r se3r -------------------------------------------End Example--------------------------------------------------------------------------------- 1. Adding to my earlier problem if we run this program an error occurs suggesting that there is no endogenous variable and that I use -probit- . But this totally negates the question I want to answer - the Amount of bias as we increase the number of instruments? Any suggestions would be appreciated I * * 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/

* * 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/

**References**:**st: Re: Simulating Instrumental Variable Probit Model - Addendum***From:*Sachin Chintawar <schint1@tigers.lsu.edu>

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