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<[email protected]> |

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[email protected] |

Subject |
st: Questions on ivprobit (probit model with an endogenous regressor) |

Date |
Sun, 6 Jan 2008 15:44:57 -0600 |

Dear colleagues: I need your help with respect to the following questions about ivprobit (command for probit model with an endogenous regressor): 1. Is there anything with my syntax below? If yes, how can it be corrected? ivprobit vrics mhol acmt iacm bdze mdir dual ihol aud_1 aud_2 aud_3 aud_4 size perf levg ind_1 ind_2 ind_3 ind_4 ind_5 ind_6 ind_7 ind_8 rev_gwth fcash optns (bdin= dual ihol mhol fcash size levg ind_1 ind_2 ind_3 ind_4 ind_5 ind_6 ind_7 ind_8 optns vrics_1), first 2. The dependent variable, vrics, is a dummy coded 1/0. Hence, my use of ivprobit. However, the endogenous regressor, bdin, is not. Isn't ivprobit reading the data on bdin as dummy? My question is based on the fact that OLS estimates of the bdin equation is different from those returned by ivprobit for the first-stage regression. Also, Stata 10 reports iteration for "Fitting exogenous probit model". 3. Stata increases the number of the instrumented variables in its results than I originally specified in the syntax? Why that? Is it because my model is under-identified? 4. For the fitting of the full model (i.e., probit model with the endogenous regressor), Stata goes through iteration from 1 to 1070, reporting that the intervening iterations (i.e., 1 to 1068) are not concave. Why this long iteration? Does it suggest that the model is mis-specified? Or implies that the results are not correct? 5. Stata 10 does not report model summary statistics for the first-stage regression with bdin as the dependent variable. Is there any way of getting these statistics? I look forward to hearing from you. Thanks for your cooperation. Regards, Stephen -- Stephen Owusu-Ansah, PhD, CIA, CBM * * 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/

**Follow-Ups**:**st: RE: Questions on ivprobit (probit model with an endogenous regressor)***From:*"Schaffer, Mark E" <[email protected]>

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