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Re: st: iv probit
On Fri, 23 Jun 2006, Elizabeth Wiemers wrote:
I am under the impression that when an ivprobit command is used in
STATA, the first stage is estimated as a regular OLS, with a continuous
dependent variable, and the second stage is estimated as a probit. Is
this correct?
Thanks!
Elizabeth,
In the simplest version of the two-step IV probit estimator, yes, the
first stage is OLS regression, and the second stage is probit, including
both the fitted values from the first stage and the first-stage residuals
as regressors (including the residuals is key).
The actual two-step estimator that -ivprobit- uses is a bit more complex,
because it is actually a weighted combination of two different estimators;
see the Methods and formulas of [R]ivprobit. The first stage, though, is
indeed OLS regression.
The maximum likelihood estimator is done in one step; there is no first
and second step.
Hope this helps
-- Brian Poi
-- [email protected]
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