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Re: st: standard error calculation of marginal effects from ivprobit


From   "Brian P. Poi" <[email protected]>
To   [email protected]
Subject   Re: st: standard error calculation of marginal effects from ivprobit
Date   Tue, 12 Dec 2006 08:28:33 -0600 (CST)

On Tue, 12 Dec 2006, Alejandro Delafuente wrote:

Many thanks Richard. This is very useful. I still have a problem as all my
marginal effects are non-significant. I wonder if this has anything to do with
the fact that when Stata is fitting the exogenous probit model right at the
beggining of my ivprobit it tells me that the regressor was dropped by probit.
Can anyone tell me why would Stata do so? How can I solve it?
I think the reason for non-significance derives from here because a similar
ivprobit for another cross-section gives no message like this and my marginal
effects come out significant.

Here is the message after my ivprobit:

Fitting exogenous probit model
Iteration 0:   log likelihood = -3835.5461
Iteration 1:   log likelihood = -2887.7454
Iteration 2:   log likelihood =  -2824.864
Iteration 3:   log likelihood = -2823.5037
Iteration 4:   log likelihood = -2823.5018
regressor dropped by probit; using ivreg for initial values instead...

Many thanks,
Alejandro
Alejandro,

You might want to fit a regular -probit- model of your dependent variable on your endogenous and exogenous variables. Does -probit- issue any kind of warning about dropping a regressor?

To get initial values for maximum likelihood estimation, -ivprobit- fits a regular -probit- model ignoring the endogeneity issue. If, for whatever reason the coefficient vector returned by -probit- does not have k elements, where k is the number of regressors passed to it plus one for the constant, then -ivprobit- calls -ivreg- instead.

In short, if you see that message and want to determine the root cause, fit a plain -probit- model ignoring the endogeneity issue. The appearance of that message does not, however, automatically imply that the final results are invalid.

Hope this helps.

-- Brian Poi
-- [email protected]
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