On Mon, 26 Jan 2004, Martin Linde-Rahr wrote:
> Dear all,
>
> I'm estimating an instrumental probit using ivprob. The command does not
> give any log-likelihood, nor any measure of fit in the result. Only a clean
> standard table with std errors, etc. Can anyone help me out?
>
> regards,
>
> Martin
>
Martin,
The -ivprob- command available on SSC uses Newey's (1987) efficient
two-step estimator. The maximum likelihood probit estimator is employed
twice during the implementation, but it is in fact a minimum chi-squared
estimator, not a maximum likelihood estimator.
The coefficients' t-statistics can be used to determine statistical
significance, but deriving the marginal effects from two-step models such
as this one is nontrivial. Wooldridge (2002, section 15.7.2) has a good
discussion of a slightly simpler two-step probit estimator and the issues
involved in getting the marginal effects.
References
Newey, W. K. (1987). Efficient estimation of limited dependent variable
models with endogenous explanatory variables. Journal of Econometrics, 36,
231-250.
Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel
Data. Cambridge, MA: MIT Press.
Hope this helps.
-- Brian Poi
-- [email protected]
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