Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


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

Re: st: IV Probit


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV Probit
Date   Thu, 15 Mar 2012 14:22:52 -0400

Robert Davidson <rhd773@gmail.com>:
I think you should still report the -ivreg2- estimates and diagnostics.
In particular, *you should not use -ivprobit- for this case*
--look at this from the -ivprobit- help file:
"Both estimators assume that the endogenous regressors are continuous
and are not appropriate for use with discrete endogenous regressors."
See also http://www.stata.com/meeting/chicago11/materials/chi11_nichols.pdf

On Thu, Mar 15, 2012 at 12:46 PM, Robert Davidson <rhd773@gmail.com> wrote:
> Thank you for your response.  My endogenous regressor is also binary,
> so even the first stage model is binary in nature.  Does this
> basically mean that I cannot produce much in the way of diagnostics
> other than to simply show that the instrument is highly correlated
> with the endogenous regressor and weakly correlated with the error
> term in the original model for which the instrument is to be used?
>
>
> On Thu, Mar 15, 2012 at 12:18 PM, Austin Nichols
> <austinnichols@gmail.com> wrote:
>> Robert Davidson <rhd773@gmail.com>:
>> The theory of the diagnostics is not developed for -ivprobit- or any
>> other nonlinear model,
>> but you can certainly report the diagnostics for the linear probability model
>> that corresponds using -ivreg2-. Since weak instruments are a property
>> of the first stage, this is as much as any reviewer is likely to want.
>> Overidentification tests are also possible via -gmm-.
>>
>> On Thu, Mar 15, 2012 at 11:19 AM, Robert Davidson <rhd773@gmail.com> wrote:
>>> Hello,
>>> I am trying to estimate an ivprobit model in Stata 11.2.
>>> I would like to estimate an F-statistic to assess weak instruments and
>>> perform other tests to assess the potential endogeneity of the
>>> instrument. None of the commands available with ivreg seem to work. I
>>> have looked at the help for ivprobit and the post estimation commands
>>> and cannot find these things. I imagine these calculations are basic,
>>> but I have not used ivprobit before and cannot find guidance online.
>>> I am estimating a standard ivprobit though the standard errors are
>>> clustered by groups.
>>> Thank you,
>>> Rob

*
*   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   |   Site index