Re: st: IV Question: probit model at 1st stage & survival model at 2nd stage

[John Antonakis <John.Antonakis@unil.ch>]

Hi:

Actually you are fine using linear probability model:

Angrist, J. D. 2001. Estimation of limited dependent variable models 
with dummy endogenous regressors: Simple strategies for empirical 
practice. Journal of Business & Economic Statistics, 19(1): 2-16.
If you really want to have a probit first-stage then look at the 
user-written command -cmp- which correlates the disturbances from the 
probit and y equations; the latter is needed to have an IV-estimator 
(Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. 2010. On making 
causal claims: A review and recommendations. The Leadership Quarterly, 
21(6): 1086-1120)
Hope this helps.
J.

__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor:
The Leadership Quarterly
Organizational Research Methods
__________________________________________

On 08.11.2013 10:29, honglong wrote:
> Dear Statalist,
>
> I am working on a survival analysis project, and about to use 
Instrumental Variables. The key independent variable is a binary number, 
therefore at the 1st stage I have to use a probit or logit model. 
However, I could not figure out any Stata command that can do a probit 
model at the 1st stage while a cox model (survival model) at the 2nd stage.
>
> Could anyone please help me on this? Thank you very much for your 
kind help!
>
> Best regards,
> Long
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