st: 2SLS with the first stage being a probit.

["Hui Wang" <jackie_stata@hotmail.com>]

Hi all,

I'd like to know that whether there is any command in stata allowing me to 
conduct a 2SLS regression with the 1st stage being a probit regression 
regressing endogenous variable on instruments.

I tried to program the above 2SLS. First do the probit and get the predict 
value and then use the predicted value to replace the endogenous variable in 
the 2nd stage regression. But the problem is that the observation number of 
the two stages are not the same. This is not the case when I use the command 
like 'ivreg'.  If I have to write a program to conduct the 2SLS mentioned 
above, how should I do in order to get equal observation in the two stage 
regressions?

Thank you.

Jackie

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