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
**********************************************************************
This email and any files transmitted with it are confidential and
intended solely for the use of the individual or entity to whom they
are addressed. If you have received this email in error please notify
the system manager.
This footnote also confirms that this email message has been swept
**********************************************************************
*
* 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/
