Hi
Mark, Thanks.
I am trying to explicitly use the *residuals* from my first step (probit
model used to predict treatment) as a regressor in my primary model of
interest. I think -treatreg- uses the *predicted values* of the treatment
variable from probit instead.
So, ideas on how I can use the first stage residuals in the second stage
will be particularly appreciated..
Many Thanks,
Deepak
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: Friday, April 13, 2007 1:22 AM
To: [email protected]
Subject: st: RE: control function with probit in first stage
Deepak,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Deepak Hegde
> Sent: 13 April 2007 05:36
> To: [email protected]
> Subject: st: control function with probit in first stage
>
> 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.
Why not use Stata's built-in -treatreg-?
--Mark
> Thanks a lot!
> --- Deepak
>
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