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From |
Robert Davidson <rhd773@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: IV Probit |

Date |
Thu, 15 Mar 2012 18:38:30 -0400 |

Thank you for the link; it is quite helpful. To keep things simple, it appears I should use a linear iv model, such as ivreg2, or a bivariate probit model, depending on whether I am more interested in consistent estimates of ATT or ATE, or depending on which assumptions I am more comfortable (most likely) violating. If I use the biprobit function, can I interpret the significance (or lack thereof) of the likelihood ratio test of independent equations as evidence for the need to use such a model (when rho is significant). Thank you, Rob On Thu, Mar 15, 2012 at 2:22 PM, Austin Nichols <austinnichols@gmail.com> wrote: > 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/ * * 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: IV Probit***From:*Robert Davidson <rhd773@gmail.com>

**Re: st: IV Probit***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: IV Probit***From:*Robert Davidson <rhd773@gmail.com>

**Re: st: IV Probit***From:*Austin Nichols <austinnichols@gmail.com>

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