Kyle et al.,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Kyle Hood
> Sent: 07 August 2007 20:54
> To: [email protected]
> Subject: Re: st: difference between -treatreg- and -ivreg-
>
> I think that ivreg and treatreg make different assumptions
> about how the endogenous RHS variables are related to the
> instruments. In the former, the instruments are related
> linearly to a continuous, perfectly observed endogenous
> variable. In the latter, instruments are linearly related to
> an unobserved, latent continuous variable; if this variable
> is above some threshold, the binary endogenous variable is
> observed as a 1 and is 0 otherwise.
This part of the picture. treatreg tries to get efficiency gains by
modelling the equation with the binary endogenous variable as a probit;
it is, in effect, a system estimator. ivreg (or ivreg2) is a
single-equation estimator. The usual robustness-vs-efficiency tradeoff
applies: if the probit eqn is misspecified, treatreg will be
inconsistent, including the main equation; if it's correctly specified,
it's more efficient than IV. But IV will be consistent in both cases.
For more details and some other options, see my other posting.
Cheers,
Mark
> On Tue, 7 Aug 2007, Prabal Kr. De wrote:
>
> > Thanks, but let me be more specific:
> > what is the difference between -treatreg- and -ivreg?
> > Are they same in case the endogenous variable is binary?
> > Thanks again,
> > Prabal
> > --- Kyle Hood <[email protected]> wrote:
> >
> >> Of the three commands you have asked about, only one allows for a
> >> dependent variable that is discrete (ivprobit). I believe
> this would
> >> be the appropriate choice.
> >>
> >> On Tue, 7 Aug 2007, Prabal Kr. De wrote:
> >>
> >>> hi!
> >>> I wanted to know what is the difference between
> >>> -treatreg- and -ivreg- or -ivprobit- command. For
> instance if I have
> >>> a dummy dependent variable and
> >> a
> >>> dummy endogenous variable and a continuous
> >> instrument,
> >>> which one is more appropriate.
> >>> Thanks in advance,
> >>> Prabal
> >>>
> >>>
> >>>
> >>
> >
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