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Re: st: Probit, IV, Multiple Regressors


From   [email protected]
To   [email protected]
Subject   Re: st: Probit, IV, Multiple Regressors
Date   Tue, 18 Jan 2005 15:27:16 +0100





Jason Hwang wrote:

> 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.


-ivprob- does not seem to have problems with multiple endogenous
regressors:

. sysuse auto
(1978 Automobile Data)

. ivprob foreign , endog(turn trunk) iv(rep78 weight) exog(mpg price)
(0 real changes made)
------------------------------------------------------------------------------
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
        turn |  -1.257881   .5281766    -2.38   0.017    -2.293088
       -.2226735
       trunk |   .5575504   .5335022     1.05   0.296    -.4880948
       1.603196
         mpg |  -.1456393   .1117303    -1.30   0.192    -.3646267
       .0733481
       price |   .0002998   .0002303     1.30   0.193    -.0001515
       .0007512
       _cons |   41.39529   16.00078     2.59   0.010     10.03433
       72.75624
------------------------------------------------------------------------------


Of course, you need at least as many instruments as endogenous regressors.

However, -ivprob- does not compute robust std.errors.


Hope this helps.

Philippe






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