Deepak,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Deepak Hegde
> Sent: Friday, April 13, 2007 6:20 PM
> To: [email protected]
> Subject: st: RE: RE: control function with probit in first stage
>
> 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.
It uses the inverse Mills ratio, if I'm not mistaken. Also if I'm not
mistaken, this is the standard two-step procedure. Do you have a
specific reason not to use this, or perhaps a reference for the
procedure you want to follow?
Cheers,
Mark
>
> 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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