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Subject: AW: st: IV probit with dummy endogenous regessors
Date: Thu, 10 May 2007 21:04:12 +0200
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Partha, I am not sure with mvprobit in that case.
As it is mentioned somewhere of the authors, mvprobit fits SUR-like models.
If there is an endogenous variable on the right hand side, the SUR assumtio=
n
would not hold since it does not include the endogenarity.
Stephan
-----Urspr=FCngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Partha Deb
Gesendet: Donnerstag, 10. Mai 2007 20:47
An: [email protected]
Betreff: Re: st: IV probit with dummy endogenous regessors
Margherita,
-biprobit- works nicely if you have one endogenous (and binary) regressor.
-mvprobit- would work with multiple, binary regressors.
Both models are subject to distributional assumptions.
Hope this helps.
Partha
[email protected] wrote:
> ... is there any other Stata command suitable for the probit with
endogenous dummy?
>
> thanks alot
> Margherita
>
>
> ------------------------------------------------------------------------
>
> Subject:
> Re: st: IV probit with dummy endogenous regessors
> From:
> "Brian P. Poi" <[email protected]>
> Date:
> Thu, 10 May 2007 11:05:27 -0500 (CDT)
> To:
> [email protected]
>
> To:
> [email protected]
>
>
>
> On Thu, 10 May 2007 [email protected] wrote:
>
>> Dear Statalister,
>>
>> I have a few basic questions about IV probit.
>>
>> My model is a probit with dummy endogenous regressors (for every dummy
>> endogenous regressor I have 3 dummy instruments).
>>
>> Can I use ivprobit, or it can be only used with continuous endogenous
>> regressors?
>>
>
> As Wooldridge (2002, p. 472) emphasizes, both the two-step and
> maximum-likelihood estimators implemented by -ivprobit- (and -ivtobit-)
> require that the endogenous regressors be continuous.
>
> The model fitted by -ivprobit- can be written as
>
> y1* =3D x'beta + delta*y2 + u1
> y2 =3D x'gamma + z'eta + v2
>
> with y1 =3D 1 if y1* > 0 and 0 otherwise, where y2 is endogenous, x
> represents the included exogenous variables, and z are the additional
> instruments. Both estimators assume that u1 and v2 are bivariate
> normal. Thus, since v2 is normal, y2 given x and z must also be normal,
> and that rules out discrete variables (of which a dummy is a special
case).
>
> -- Brian Poi
> -- [email protected]
>
>
> Reference
> ----------
> Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and
> Panel Data. Cambridge, MA: MIT Press.
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
--=20
Partha Deb
Department of Economics
Hunter College
ph: (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/
Emancipate yourselves from mental slavery
None but ourselves can free our minds.
=09- Bob Marley
*
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*
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