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

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Probit Model with Instrumental variables |

Date |
Sun, 26 Apr 2009 17:42:21 -0600 |

Dear All Well I did find why the results were contrary to the results published by Buse. I did notice one thind that Martin help me do but cannot figure out why and hope someone could help me When I use the statement -generate y = 0.5 + 2*x1 + x2hat + mu + u>4- the y generated is 1 or 0 with "4' from which on we want the dependent to be 1. Unfortunately when I change the value from "4" to anything above then it does not work giving an error message that "May not drop an endogenous regressor". This has left me puzzled and stumped. Any help would be greatly appreciated. Thanks Sachin ---------------------------------------Start Example------------------------------------------------------; global numobs 500 // sample size N global numsims "500" // number of simulations set seed 123456789 capture program drop endoprob program endoprob // , rclass version 10.1 drop _all set obs $numobs generate u = rnormal(0) generate mu = rnormal(0) generate v = rnormal(0) //generate x = rnormal(0) generate z1 = rnormal(0) // 4 Instruements generate z2 = rnormal(0) generate z3 = rnormal(0) generate z4 = rnormal(0) // Also be written *drawnorm u mu x1 z1 z2 z3 z4 generate a = 0.4*u generate x = 0.5 + 0.1*z1 + a regress x z1 // endogenous regressor with four instruments predict px generate y = 0.5 + px + mu + u > 4 //Reduced Form Equation ivprobit y (x= z1 ) predict py end simulate _b _se y py , /// reps($numsims): endoprob mean x* y* --------------------------------------------------------End Program------------------------------------------------------------- * * 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: AW: Probit Model with Instrumental variables***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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