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Re: st: xtivreg

From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: xtivreg
Date   Tue, 16 Nov 2004 11:55:42 -0000


You've got three options:

- Keep using xtivreg.  This will generate consistent, albeit 
inefficient, estimates even if one or more endogenous regressors is 
dichotomous.  You could also consider Wooldridge's suggestion of 
using the probit to generate fitted values and using these fitted 
values as instruments in your IV equation.  See e.g. the discussion 
on Statalist earlier this year:

- Use a canned program such as treatreg or cdsimeq and include dummy 
variables for your fixed effects.

- Program it yourself.

Hope this helps.


From:           	PATGIRI Rajdeep <[email protected]>
To:             	"'[email protected]'" <[email protected]>
Subject:        	st: xtivreg
Date sent:      	Tue, 16 Nov 2004 11:00:38 +0100
Send reply to:  	[email protected]

> Hello,
> I am trying to run "xtivreg" for my 2-SLS regression.  I suspect that
> Stata only performs linear OLS in the first stage.  However, I need to
> run a Probit model in the first stage.  Is there any way out?  I tried
> to use "heckman", but it doesn't seem to handle panel data (it only
> performs a pooled regression).  Thanks in advance!
> Regards,
> Rajdeep

Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator

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