Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: 2SLS with Probit in the first-stage regression


From   Jake Herb <[email protected]>
To   [email protected]
Subject   st: 2SLS with Probit in the first-stage regression
Date   Sun, 12 Sep 2004 20:30:50 -0700 (PDT)

Hi,
I�d like to do a 2SLS estimation where the first-stage
regression is Probit.
For example, the model is
y = a + b1X1 + b2X2 + u
where X1 is an endogenous binary variable.
I�d like to instrument X1 with Z1 and Z2 where the
first-stage regression is a Probit
X1 = a + b1Z1 + b2Z2 + b3X2 + e
I tried to use ivreg but it seems the first-stage
regression ivreg does is OLS rather than Probit.
Although I can do the first-stage Probit regression
manually and then use the predicted X1 in the
second-stage regression, I don�t think it is accurate
since the OLS standard errors of the second-stage
regression will be incorrect in such a case.
Does Stata has a procedure that does 2SLS with Probit
in the first-stage?
Any suggestions would be greatly appreciated!
Thanks,
Jake




_______________________________
Do you Yahoo!?
Shop for Back-to-School deals on Yahoo! Shopping.
http://shopping.yahoo.com/backtoschool

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index