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Hi:
I'm trying to do IV probit on Stata, but am having very little success. My
model is:
y=3Dbo + b1x1 +b2x2 + e, z; where y is binary (0,1), x1 is a set of binary
(0,1) rhs variables (both exogenous and endogenous), x2 is a set of
continuous variables (both exogenous and endogenous), and z is a set of
instruments for the endogenous variables in x2 and x1. Depending on the
specification of the model, it may be overidentified.
I am having problems doing a two-stage (iv) probit approach. Do you know o=
f
a canned module available for stata that will give me correct standard
errors and efficient estimates with the set up I am using? If not, what is
the best way to approach this problem? Should I generate the first stage
predicted values seperately using OLS and probit, and then use the generate=
d
predicted values in my second stage probit regression? If so how do I
construct my var/cov. matrix?
Thanks for your help,
Michael
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