Mark--
Indeed, you can generate \lambda yourself and include it in a
control-function approach. However, -treatreg- does not allow robust
SEs with the twostep option.
esto clear
sysuse auto, clear
treatreg pri wei, treat(for=mpg) two
esto treat
probit for mpg
predict xb, xb
g res=cond(for == 1,normden(xb)/norm(xb), -normden(xb)/(1-norm(xb)))
reg pri wei for res
esto tcf
ivreg pri wei (for=mpg),
esto ivreg
probit for wei mpg
predict ghat
ivreg pri wei (for=ghat),
esto pr18_1
reg for wei ghat,
predict vhat, resid
reg pri wei for vhat,
esto pr18_1cf
esta
On 4/13/07, Schaffer, Mark E <[email protected]> wrote:
I am pretty sure that the inverse Mills ratio approach used in
-treatreg, twostep- is in fact the correct control function approach.
If you work out the generalized residual for the probit following
Scott's posting, you should get exactly the lambda that -treatreg- uses
in the 2nd part of the -twostep- estimation.
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