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st: RE: RE: control function with probit in first stage


From   "Deepak Hegde" <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: control function with probit in first stage
Date   Fri, 13 Apr 2007 10:20:13 -0700

Hi 

Mark, Thanks.

I am trying to explicitly use the *residuals* from my first step (probit
model used to predict treatment) as a regressor in my primary model of
interest.  I think -treatreg- uses the *predicted values* of the treatment
variable from probit instead.  

So, ideas on how I can use the first stage residuals in the second stage
will be particularly appreciated..

Many Thanks,
Deepak


-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: Friday, April 13, 2007 1:22 AM
To: [email protected]
Subject: st: RE: control function with probit in first stage 

Deepak,

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Deepak Hegde
> Sent: 13 April 2007 05:36
> To: [email protected]
> Subject: st: control function with probit in first stage 
> 
> Hi all,
> 
> I am trying to correct for a model with a potential 
> endogenous binary explanatory variable by using the control 
> function approach. 
>  
> Since my endogenous variable is binary, my first stage is a 
> probit, and the second stage is OLS (with the estimated 
> errors from the first-stage as one of the explanatory variables).
> 
> Can someone please point me to an easy way of implementing 
> this in Stata to get correct standard errors and estimates?  
> Code/Routines will be particularly helpful, but I'll also be 
> thankful for illustrations, etc. 

Why not use Stata's built-in -treatreg-?

--Mark

> Thanks a lot! 
> --- Deepak
>  

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