Hi, I was looking through past inquiries about ivreg in stata when the
first stage regression is a probit. I found the following advice,
following Wooldridge (2002):
. probit w x1-xn z
. predict ghat
. ivreg y x1-xn (w = ghat)
My question is not so much about the econometrics as it is about how to
tell stata to do what I want it to do. First, how do I tell stata that I
want to provide my own fitted values from the first stage (I have more
than one endogenous variable)? Even better, how can I tell stata that I
want it to run a probit in the first stage of the ivreg procedure.
Ideally, I would like to know how to run a probit in both stages and also
a probit only in the first stage. Thanks in advance for any help,
Cory Koedel
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