Cory,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 22 February 2006 01:09
> To: [email protected]
> Subject: st: 2sls with first stage probit
>
> 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)?
Not sure what you mean, but probably you don't want to provide your own
fitted values; for one thing, the standard errors will be wrong. The
extension of the Wooldridge procedure to multiple endogenous variables
is to generate multiple ghats as instruments. But...
> Even better, how can I tell stata that I want it
> to run a probit in the first stage of the ivreg procedure.
This looks like Stata's built-in -treatreg- estimator. BTW, it is a
system estimator, i.e., the probit equation and the outcome (y) equation
are estimated jointly. This means the usual efficiency-robustness
tradeoff, i.e., treatreg will be more efficient than single-equation IV,
but the estimates for neither equation will be consistent if either one
is misspecified.
HTH.
--mark
> 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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>
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