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st: RE: ivprobit is adding extra instruments
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: ivprobit is adding extra instruments
Date
Wed, 9 Mar 2011 15:28:01 -0000
Sarah,
It's not a "problem" at all. In econometrics, the term "instrument" is often used to designate an exogenous variable, whether it is included as a regressor or not.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Sarah Alkenbrack
> Sent: Wednesday, March 09, 2011 3:21 PM
> To: [email protected]
> Subject: st: ivprobit is adding extra instruments
>
> Hi Stata users,
>
> I am running -ivprobit- to look at the determinants of enrolment in
> health insurance (cbhi). I have several exogenous regressors and one
> endogenous regressor (consumption).
> I am using wealthindex as an intrumental variable for consumption.
> However, when I run the ivprobit model all my exogenous regressors
> appear in the "instruments" list. Could someone please
> tell me how to prevent this from happening? I am copying the stata
> code and results below. I noticed in the archives that others have had
> this problem but so far, I have not seen any answers
> posted on what might be causing this problem or how to correct it.
>
> Thank you in advance for your help.
>
> Sarah
>
> . # delimit;
> delimiter now ;
> . ivprobit cbhi age_hhead age2 edu_hh2 edu_hh3 edu_hh4 edu_hh5 mar_hh
> hhmem_cat2 hhmem_cat3
> > hhhealth_poor hh_chronic hh_diffic risk pregnancy wra
> any_oldmem j_hh2 j_hh3 j_hh4
> > hlthseek_mod campaign qual_percep urban door_to_door chief_mem
> > pharm_in_vil drugsel_in_vil hlthcent_in_vil privclin_in_vil
> young edu_chief num_camp_vill home_collection
> > qual2 qual3 size_ln name_hosp1 name_hosp3 name_hosp4
> name_hosp5 name_hosp6 (cons_pcm=wealthindex) ;
>
> Fitting exogenous probit model
>
> Iteration 0: log likelihood = -1909.5425
> Iteration 1: log likelihood = -1687.946
> Iteration 2: log likelihood = -1681.6413
> Iteration 3: log likelihood = -1681.6142
> Iteration 4: log likelihood = -1681.6142
>
> Fitting full model
>
> Iteration 0: log likelihood = -42769.776
> Iteration 1: log likelihood = -42766.676
> Iteration 2: log likelihood = -42736.028
> Iteration 3: log likelihood = -42734.629
> Iteration 4: log likelihood = -42734.269
> Iteration 5: log likelihood = -42734.266
> Iteration 6: log likelihood = -42734.266
>
> Probit model with endogenous regressors Number of
> obs = 3000
>
> Wald chi2(42) = 1113.82
> Log likelihood = -42734.266 Prob > chi2
> = 0.0000
>
> --------------------------------------------------------------
> ----------------
> | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------------
> cons_pcm | 3.59e-06 2.15e-07 16.68 0.000
> 3.17e-06 4.01e-06
> age_hhead | .0320042 .0129973 2.46 0.014
> .00653 .0574784
> age2 | -.0001774 .0001228 -1.45 0.148
> -.0004181 .0000632
> edu_hh2 | .051426 .0879334 0.58 0.559
> -.1209203 .2237723
> edu_hh3 | -.0075595 .1023748 -0.07 0.941
> -.2082106 .1930915
> edu_hh4 | -.000683 .1285689 -0.01 0.996
> -.2526735 .2513075
> edu_hh5 | -.2986249 .1713749 -1.74 0.081
> -.6345136 .0372638
> mar_hh | -.0539035 .067056 -0.80 0.421
> -.1853308 .0775237
> hhmem_cat2 | .4222092 .0675468 6.25 0.000
> .2898198 .5545985
> hhmem_cat3 | .7099401 .0822271 8.63 0.000
> .5487778 .8711023
> hhhealth_p~r | .1550617 .0699122 2.22 0.027
> .0180362 .2920872
> hh_chronic | .159681 .0718297 2.22 0.026
> .0188973 .3004647
> hh_diffic | .2613713 .0741209 3.53 0.000
> .116097 .4066456
> risk | -.0482252 .0467953 -1.03 0.303
> -.1399423 .0434919
> pregnancy | .1200344 .1214774 0.99 0.323
> -.1180569 .3581257
> wra | .1033809 .0289192 3.57 0.000
> .0467004 .1600614
> any_oldmem | .0792428 .0680778 1.16 0.244
> -.0541872 .2126729
> j_hh2 | .0512404 .0815692 0.63 0.530
> -.1086323 .211113
> j_hh3 | -.349126 .0806268 -4.33 0.000
> -.5071516 -.1911004
> j_hh4 | .1928496 .0843208 2.29 0.022
> .0275838 .3581154
> hlthseek_mod | -.0359996 .0969011 -0.37 0.710
> -.2259223 .153923
> campaign | .5068671 .0781293 6.49 0.000
> .3537365 .6599977
> qual_percep | .1840314 .0514758 3.58 0.000
> .0831408 .2849221
> urban | -.0999875 .0590944 -1.69 0.091
> -.2158103 .0158353
> door_to_door | .0564977 .0719369 0.79 0.432
> -.084496 .1974914
> chief_mem | .0811248 .0599964 1.35 0.176
> -.036466 .1987156
> pharm_in_vil | .0269211 .0582651 0.46 0.644
> -.0872763 .1411185
> drugsel_in~l | .0693485 .0586169 1.18 0.237
> -.0455385 .1842355
> hlthcent_i~l | .0089279 .0823509 0.11 0.914
> -.1524769 .1703327
> privclin_i~l | -.0547559 .0857815 -0.64 0.523
> -.2228846 .1133728
> young | .0899074 .0715818 1.26 0.209
> -.0503903 .2302051
> edu_chief | -.0888131 .0528856 -1.68 0.093
> -.1924671 .0148408
> num_camp_v~l | .0655667 .0548026 1.20 0.232
> -.0418444 .1729779
> home_colle~n | .1944581 .0606159 3.21 0.001
> .0756531 .3132631
> qual2 | -.1778623 .0896638 -1.98 0.047
> -.3536001 -.0021245
> qual3 | -.2049839 .1081036 -1.90 0.058
> -.416863 .0068952
> size_ln | -.0059746 .042326 -0.14 0.888
> -.0889321 .0769829
> name_hosp1 | .1476783 .1168295 1.26 0.206
> -.0813032 .3766598
> name_hosp3 | .536909 .1350044 3.98 0.000
> .2723053 .8015128
> name_hosp4 | .4347936 .1069197 4.07 0.000
> .2252348 .6443523
> name_hosp5 | .228802 .1274495 1.80 0.073
> -.0209945 .4785985
> name_hosp6 | .9189969 .1301651 7.06 0.000
> .6638779 1.174116
> _cons | -4.82205 .4438201 -10.86 0.000
> -5.691922 -3.952179
> -------------+------------------------------------------------
> ----------------
> /athrho | -.8556093 .0998439 -8.57 0.000
> -1.0513 -.6599188
> /lnsigma | 12.27712 .01291 950.98 0.000
> 12.25181 12.30242
> -------------+------------------------------------------------
> ----------------
> rho | -.6939885 .0517571
> -.7823111 -.5783094
> sigma | 214725.5 2772.097
> 209360.5 220228.1
> --------------------------------------------------------------
> ----------------
> Instrumented: cons_pcm
> Instruments: age_hhead age2 edu_hh2 edu_hh3 edu_hh4 edu_hh5 mar_hh
> hhmem_cat2 hhmem_cat3 hhhealth_poor hh_chronic
> hh_diffic risk
> pregnancy wra any_oldmem j_hh2 j_hh3 j_hh4 hlthseek_mod
> campaign qual_percep urban door_to_door chief_mem
> pharm_in_vil drugsel_in_vil hlthcent_in_vil
> privclin_in_vil
> young edu_chief num_camp_vill home_collection
> qual2 qual3
> size_ln name_hosp1 name_hosp3 name_hosp4 name_hosp5
> name_hosp6 wealthindex
> --------------------------------------------------------------
> ----------------
> Wald test of exogeneity (/athrho = 0): chi2(1) = 73.44
> Prob > chi2 = 0.0000
>
> *
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>
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