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From |
"Brian P. Poi" <brian@poiholdings.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: initial values in ivprobit |

Date |
Sat, 15 Jan 2011 10:30:12 -0500 |

-----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of xueliansharon Sent: Friday, January 14, 2011 10:54 AM To: statalist@hsphsun2.harvard.edu Subject: st: initial values in ivprobit Dear all, I want to estimate an ivprobit model, and I need to specify the initial values using a matrix coeff, I always got an error message as : "initial vector: extra parameter r1 found", How can I deal with this problem? The following are my codes (using nlsw88 as an example): est clear sysuse nlsw88, clear matrix define coeff=(1\2) ivprobit collgrad tenure (wage=smsa grade), from(coeff) I know that in the "from" option, I could specify numbers for initial values directly rather than a matrix, but in my own program, I need to use a matrix as initial values. Many thanks. Best, Sharon -- To figure out how to specify initial values as a matrix, the easiest thing to do is first fit a simple model and examine the coefficient vector e(b). Your initial value matrix will be the same size as e(b), and the values will need to appear in the same order. In the case of -ivprobit-, you'll also want to add the option 'first' to see the "first-stage" coefficients; that makes figuring out what is in e(b) easier. . webuse laborsup . ivprobit fem_work fem_educ kids (other_inc = male_educ), first (output omitted) . matrix list e(b) e(b)[1,10] fem_work: fem_work: fem_work: fem_work: other_inc: other_inc: other_inc fem_educ kids _cons fem_educ kids y1 -.05427563 .21111102 -.18209291 .36720829 .33518665 .83290555 other_inc: other_inc: athrho: lnsigma: male_educ _cons _cons _cons y1 2.8452531 9.8725609 .39078578 2.8133833 Here we see that the coefficients for the probit equation come first, followed by the coefficients for the (loosely speaking) first-stage regression equation, then the hyperbolic arctangent of rho and the log of sigma. Those last two parameters are defined in the Methods and Formulas section of the reference manual entry for -ivprobit-. The order of the parameters for the probit equation is <endogenous variable>, <exogenous variables>, constant and for the first-stage regression <exogenous variables in probit>, <additional instruments>, constant. Looking at the model you specified . ivprobit collgrad tenure (wage=smsa grade) The probit equation will have 3 parameters (for wage, tenure, and a constant), and the regression equation will have 4 parameters (for tenure, smsa, grade, and a constant), so your initial value matrix will need to have 3 + 4 + 2 = 9 columns. Having said all that, I'm not sure specifying different initial values will help, as the ones -ivprobit- uses by default are probably as good as any. -ivprobit- uses OLS to get the first-stage initial values (and sigma) and probit ignoring endogeneity to get initial values for the probit equation parameters. If your model doesn't converge on its own, I'd consider trying a simpler specification rather than playing with initial values. -- Brian Poi -- brian@poiholdings.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: initial values in ivprobit***From:*xueliansharon <xuelianstata@gmail.com>

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