I am not quite sure what kind of answer you want,
as you seem to answer your own question.
In essence, -ivprob- is an user-written command
that will run in Stata 8.2 up, while -ivprobit-
is part of official Stata introduced in Stata 9.
(That makes what you say a little surprising, but
I guess a typo somewhere.)
The acknowledgements indicate that StataCorp looked
carefully at -ivprob- when writing -ivprobit-, but
the relationship is not much closer than that,
I guess. It's not as close -- as does sometimes
happen -- as when a user-written command
is adopted directly as official. Even in that
case the code and help file can get rewritten
and it can be a case of "I have my grandfather's axe.
My father replaced the blade and I replaced the handle".
(Sorry for any implicit testosterone here. No doubt there
are female equivalents.)
More specifically, as estimation methods differ
you have something of a check on whether models
are stable.
If you want more on -ivprob- than is given in
the help, look inside the program or contact
the author (who may not be a member of Statalist).
Nick
[email protected]
Alejandro Delafuente
> Am trying to estimate a probit model with endogenous
> regressors, but can't
> really understand the difference between the ivprob command
> and the ivprobit
> command.
> I read that ivprob implements Amemiya Generalized Least
> Squares (AGLS)
> estimators whereas ivprob uses Maximum-Likelihood estimation
> procedures. Is the
> difference then that AGLS carries out a sort of two-step
> procedure but
> correcting standard errors that would otherwise
> (asymptotically) be less
> efficient than maximum likelihood estimates?
> Or is ivprob the same as ivprobit, but under different Stata versions?
> I could not run ivprob in Stata 8.2 nor ivprobit in Stata
> 9.0. I tried both
> commands under each respective versions and the results were
> very similar, but not the same.
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