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From |
Steve Samuels <sjsamuels@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Stata's two-step treatreg command |

Date |
Mon, 20 May 2013 08:27:17 -0400 |

Bob: You are getting "two-step" mixed up with two-stage least squares. Adding y2hat to the regression does not produce the two-step estimator. For the correct terms to add, see pp. 2267 and 2268 of the Stata 12 Manual entry for -treatreg-. Steve On May 17, 2013, at 8:44 PM, Bob Reed wrote: Hi, I'm trying to do some simulations where I reproduce the results from Stata's treatreg command (two-step). I get very close, but I can't reproduce the results exactly. Can somebody tell me if this is just rounding error, or is the code below doing something wrong? Thanks! Bob Reed PS. The code below does not induce any correlation between the error terms in the primary and selection equations. I will get to that after I can figure out exactly how treatreg calculates its estimates. ------------------------------------ clear set obs 1000 set seed 50 generate e1 = rnormal() generate e2 = rnormal() generate x1 = rnormal() generate x2 = rnormal() generate y2star = x1 + x2 + e2 generate y2 = 0 replace y2 = 1 if y2star>=0 /* y2 is the treatment indicator */ generate y1 = x1 + y2 + e1 probit y2 x1 x2 predict y2hat /* This command generates the results I want to reproduce */ treatreg y1 x1, twostep treat(y2 = x1 x2) /* According to my understanding of treatreg, this OLS equation should */ /* reproduce treatreg's twostep estimates of the treatment effect */ regress y1 x1 y2hat -------------------------------------------------------------------- W. Robert Reed Professor Replications Co-Editor, Public Finance Review Editor, ISRN Economics Department of Economics and Finance University of Canterbury Private Bag 4800 Christchurch New Zealand Phone: +64-3-3642846 Fax: +64-3-3642635 Email: bobreednz@yahoo.com Homepage: http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/ View my Google Scholar profile -------------------------------------------------------------------- The curious task of economics is to demonstrate to men how little they really know about what they imagine they can design. - F.A. Hayek * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Stata's two-step treatreg command***From:*Austin Nichols <austinnichols@gmail.com>

**References**:**st: Stata's two-step treatreg command***From:*Bob Reed <bob.reed@canterbury.ac.nz>

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