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st: ivprobit two-step estimator and marginal effects


From   Ellen Verhofstadt <Ellen.Verhofstadt@ees.kuleuven.be>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: ivprobit two-step estimator and marginal effects
Date   Mon, 6 Dec 2010 12:44:52 +0100

Hello,

I have a question with regard to the estimation of marginal effects after an ivprobit two-step estimation. 
My question is related to a problem discussed by Ramani Gunatilaka and Brian Poi (2007) -and getting residuals in tobit estimation as discussed by Monica and Scott (2004)-.

Mister Poi proposes to use the method that can be found in Wooldridge (2002, Econometric Analysis of Cross Section and Panel Data) pp. 472-477 to obtain average partial effects after the two-step estimator. 
However, after reading the proposed method I'm still doubting how to implement this in STATA. 


y1 = x1 + x2 + x3 + y2 + y3       with y2 and y3 two endogenous regressors and y3 is censored.

This is how I would work in order to obtain the average partial effects. 

regress y2 x1 x2 x3 z1 z2 z3
predict v2hat, resid

tobit y3 x1 x2 x3 z1 z2 z3 , ll(0) ul(1)
predict xb if e(sample), xb
gen v3hat = `depvar' - xb if e(sample)

probit y1 x1 x2 x3 y2 y3 v2hat v3hat
mfx


Will this method give me the -average partial- effects I'm looking for?

       
Thanks for your help, 

Ellen

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