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st: control function with probit in first stage


From   "Deepak Hegde" <[email protected]>
To   <[email protected]>
Subject   st: control function with probit in first stage
Date   Thu, 12 Apr 2007 21:36:22 -0700

Hi all,

I am trying to correct for a model with a potential endogenous binary
explanatory variable by using the control function approach. 
 
Since my endogenous variable is binary, my first stage is a probit, and the
second stage is OLS (with the estimated errors from the first-stage as one
of the explanatory variables).

Can someone please point me to an easy way of implementing this in Stata to
get correct standard errors and estimates?  Code/Routines will be
particularly helpful, but I'll also be thankful for illustrations, etc. 

Thanks a lot! 
--- Deepak
 
PS: Apologies if this looks like a repeat posting.  My first take in the
morning doesn't seem to have made it. 
 
--
Deepak Hegde
University of California --- Berkeley


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