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st: question about two stage least square and ordered probit model


From   Xuan Zhang <xuanzhan@buffalo.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: question about two stage least square and ordered probit model
Date   Wed, 5 Dec 2012 22:33:41 -0500

Dear everyone,

I have a question about the 2SLS. My model is like below:

y=X'β1+γM+u1

and M is the IV that I will estimated from equation:

M=X'b+u2

However the M variable is a dummy variable which could be 1 2 3 4. So
in the estimation of M, I plan to use a ordered probit model. Then
substitutes the estimation into the first equation to get β1. I'm not
sure how could I deal with the problem in STATA.

I read some materials regarding this issue. I suppose I should use
smm. But I'm not sure whether I'm in the right direction.

My second question is: if I could solve the problem, could I apply it
into panel data. I'm now using a cross section data.

Thanks a lot.

Best,

Xuan Zhang

Department of Economics, SUNY Buffalo

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