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st: Probit, IV, Multiple Regressors

From   Jason Hwang <[email protected]>
To   [email protected]
Subject   st: Probit, IV, Multiple Regressors
Date   Tue, 18 Jan 2005 00:02:41 -0500 (EST)

Dear Statalist Users,

I've been looking around in the archives but haven't found what I'm
looking for. I would very much appreciate your help.

I have a binary dependent variable so I'm trying estimate a probit model.
I have ten independent variables, *four* of which are possibly endogenous
so I would like to instrument these. I have panel data and I would like to
cluster my standard errors if possible.

Now there is an existing procedure, ivprob, but I can only have a single
endogenous variable it seems. So I have a couple of questions:

(1) Has anyone tried to estimate a probit model with many endogenous
variables and how did you implement this in Stata?

(2) Does anyone know of a reference that estimates probit with many
endogenous variables?

(3) If I were to write my own code, it should be in principle be
straightforward to extend the single-endogenous-variable case to the
multiple-variables case, but the covariance matrix of the errors (in my
case, 5 x 5) becomes very cumbersome to work with. Any hints from
experienced users about possible ways of simplification?

I really appreciate your help with this. Thank you very much.

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