Many thanks Brian, it was very helpful indeed.
Alejandro
In message <[email protected]>
[email protected] writes:
> On Tue, 12 Dec 2006, Alejandro Delafuente wrote:
>
> > Many thanks Richard. This is very useful. I still have a problem as all my
> > marginal effects are non-significant. I wonder if this has anything to do
with
> > the fact that when Stata is fitting the exogenous probit model right at the
> > beggining of my ivprobit it tells me that the regressor was dropped by
probit.
> > Can anyone tell me why would Stata do so? How can I solve it?
> > I think the reason for non-significance derives from here because a similar
> > ivprobit for another cross-section gives no message like this and my
marginal
> > effects come out significant.
> >
> > Here is the message after my ivprobit:
> >
> > Fitting exogenous probit model
> > Iteration 0: log likelihood = -3835.5461
> > Iteration 1: log likelihood = -2887.7454
> > Iteration 2: log likelihood = -2824.864
> > Iteration 3: log likelihood = -2823.5037
> > Iteration 4: log likelihood = -2823.5018
> > regressor dropped by probit; using ivreg for initial values instead...
> >
> > Many thanks,
> > Alejandro
>
> Alejandro,
>
> You might want to fit a regular -probit- model of your dependent variable
> on your endogenous and exogenous variables. Does -probit- issue any kind
> of warning about dropping a regressor?
>
> To get initial values for maximum likelihood estimation, -ivprobit- fits a
> regular -probit- model ignoring the endogeneity issue. If, for whatever
> reason the coefficient vector returned by -probit- does not have k
> elements, where k is the number of regressors passed to it plus one for
> the constant, then -ivprobit- calls -ivreg- instead.
>
> In short, if you see that message and want to determine the root cause,
> fit a plain -probit- model ignoring the endogeneity issue. The appearance
> of that message does not, however, automatically imply that the final
> results are invalid.
>
> Hope this helps.
>
> -- Brian Poi
> -- [email protected]
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Alejandro de la Fuente
Department of International Development/QEH
University of Oxford, Mansfield Road, Oxford OX1 3TB
Tel: 01865 281836
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
