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From |
"Schaffer, Mark E" <[email protected]> |

To |
<[email protected]> |

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

Date |
Sun, 6 Jan 2008 23:22:42 -0000 |

```
Stephen,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 06 January 2008 21:45
> To: [email protected]
> Subject: st: Questions on ivprobit (probit model with an
> endogenous regressor)
>
> 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
It's impossible to tell without seeing the actual call to -ivprobit- and
what Stata makes of it. You should post this.
> 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?
No. It's because you're using the default ML estimator. If you use the
two-step estimator, you'll see that the first-step estimates for bdin
are exactly the same estimates you get if you use -regress-.
> 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?
Again, it's impossible to tell unless you show us the call to -ivprobit-
and the results.
> 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?
You're probably asking a lot of the data, maybe too much. Perhaps you
have some multicollinearity problems. Are many of the coefficients
insignificant?
> 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?
With the ML estimator, the "first-stage regression" isn't really a first
stage, since it's estimated simultaneously with the main equation. I
think this means that you just have to get the stats you want from the
main -ivprobit- results with the ML estimator. You could switch to the
two-step estimator so that the first-stage results are reproducible with
a simple call to -regress-, but this doesn't seem like a good reason to
do this.
Hope this helps.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
> I look forward to hearing from you. Thanks for your cooperation.
>
> Regards,
>
> Stephen
> --
> Stephen Owusu-Ansah, PhD, CIA, CBM
>
> *
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>
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```

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