Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: st: difference between cdsimeq, ivprobit and ivreg2


From   Anne-Sophie Bergerès <macadamianesofie@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: difference between cdsimeq, ivprobit and ivreg2
Date   Tue, 7 Jul 2009 00:45:33 +0200

Thank you for your answer mark.
 
With ivreg2, i am referring to the regression of my continuous variable on my binary endogeneous variable.(vs ivporbit, regression of binary variale on continous endogeneous variable)
 
Therefore, it should do a probit in the first stage (my binary endogeneous variable in all exogenous), save the fitted probabilities ans use that as instrument in the ols regression. 
Ivreg2 does not allow me to do a probit in the first stage but an ols. thats why my results are different.( i run an ols on my binary and i had the same results as the first stage of ivreg2). I saw in a previous post that i could use treatreg but stata does not allow me to that because some of my exogeneous variable are dichotomeous.
 
Is there a command which allow me to do a probit in the first stage and an ols in the second ? How can i implement a sargan s test then ? Or can i rely on the results of overid after my ivreg2 ?

 
I thank you in advance for your answer.


Anne-Sophie 





----------------------------------------
> From: macadamianesofie@hotmail.com
> To: statalist@hsphsun2.harvard.edu; m.e.schaffer@hw.ac.uk
> Subject: st: difference between cdsimeq, ivprobit and ivreg2
> Date: Mon, 6 Jul 2009 21:14:35 +0200
>
>
> I think, I have problems with posting.....
>
> Good afternoon,
>
> I am using the cdsimeq command. In order to test my endogeneity and overidentification conditions, i use ivprobit and ivreg2. However, I have a problem. The results from cdsimeq and the ivprobit/ivreg2 are really different and i do not understand why.
>
> The first stage of cdsimeq and ivprobit are the same but not the second stage.
> The first stage of cdsimeq and ivreg2 are different and the second stage as well.
>
> I dont know if i have made a mistake in my syntax or if it is because different estimator are used.
>
> Syntax :
>
> cdsimeq (C x1 x2 x3 x4 x5 x6) (D x1 x2 x3 x4 x7 x8 x9)
>
> ivprobit D x1 x2 x3 x4 x7 x8 x9 (C = x5 x6), twostep
>
> ivreg2 C x1 x2 x3 x4 x5 x6 (D = x7 x8 x9)
>
>
> Does anyone can help me with this issue ?
>
> I thank you in advance,
>
> Anne-Sophie
> _________________________________________________________________
> Téléphonez gratuitement à tous vos proches avec Windows Live Messenger ! Téléchargez-le maintenant !
> http://www.windowslive.fr/messenger/1.asp
> *
> * 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/
_________________________________________________________________
Inédit ! Des Emoticônes Déjantées! Installez les dans votre Messenger !
http://www.ilovemessenger.fr/Emoticones/EmoticonesDejantees.aspx
*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index