I don't know if probit regression is a "good" solution to your problem.
About one year ago there was a lively and interesting discussion on this
list, about a "proportion as a dependent variable". This discussion could
be an excellent starting point for you. The discussion took place in July
2003. Using your browser's "find in page" facility, you can search the
messages from July 2003 for the word "proportion"
http://www.stata.com/statalist/archive/2003-07/
More generally, you can also try some searches in the complete archive:
http://www.stata.com/statalist/archive/
Finally, a textbook discussion can be foud in:
J. Wooldridge, 2002, Econometric Analysis of Cross Section and Panel Data,
MIT Press.
--jean
> I have a dependednt variable "probability of informed trading" (PIT) and I
> want to find the determinants of this variable. Since PIT is a probability
> i
> thought i need to run Probit regressions. The problem is that I have
> around
> 40,000 firm-years and PIT can take any value betwen 0 and 1 in each of
> these
> firm-years. The probit examples that i saw usually have more than 2 and
> less
> than 10 categories. But, in my case i would say i have around 40,000
> categories.. how do i deal with this problem?
>
> Once i do the probit analysis in a right way how could I find the marginal
> effects?
> I would be more than grateful, if soemone could help me.
> thanks,
> -h.
> <mailto:statalist@hsphsun2.harvard.edu>
>
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