On Sat, 7 May 2005, Arif Mamun wrote:
Hi,
In Stata 9, I am trying to implement ivprobit, twostep with the option
"first". But the output doesn't provide any report of the first stage
regression. Any idea about why this is happening?
On a related note, does the ivprobit, mle model take much longer to
implement? In fact, I waited for couple of hours without luck for a
specification that ran in a few minutes with the two-step model.
Like Scott Merryman reported earlier, I was unable to replicate Arif's
problem of not seeing the first-stage results when using the "first" and
"twostep" options.
However, if Arif emails me privately the exact syntax he was using and
a dataset to replicate the problem, I will be more than happy to look
into it.
Regarding the relative speed of the two-step and ML estimators, the
likelihood function is somewhat more complicated for probit with
endogenous variables than for the regular probit model, and so it
takes a bit longer to maximize. This is especially true if the model
contains multiple endogenous variables. Since the two-step estimator
is just linear regression followed by probit, it is typically faster
than the full MLE.
--Brian Poi
[email protected]
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