Stephan Brunow --
Note that the FAQ you cite contains the "Warning: Instrumental
variables are commonly used to fit simultaneous systems models. What
follows is not appropriate for such models." However, -ivreg- (or
better, -ivreg2- avail via -ssc inst ivreg2, replace-) and -treatreg-
are both good options for estimating a regression of continuous Y on
endogenous indicator variable X using instruments Z, though they may
give quite different answers.
ssc inst ivreg2, replace
ssc inst esta, replace
clear
use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
reg lw80 lw s expr mrt
est sto ols
ivreg2 lw80 lw s expr (mrt=med iq age)
est sto iv
treatreg lw80 lw s expr, treat(mrt=med iq age lw s expr)
est sto treat
esta *, mti keep(mrt) lab se
On 5/10/07, Stephan Brunow wrote:
one of our students has the problem to run a simultaneous equation system
(SEM) where the endogenous variables are discrete (0/1-outcomes).
One suggested method to solve that problem is – as usual – 2SLS. To our
knowledge there is no command in STATA doing this so that we have to compute
it on our own. However, as in the continue variable case, the standard
errors have to be corrected.
Does the following procedure of standard error adjustment also applies to
2SLS-probit models?
http://www.stata.com/support/faqs/stat/ivr_faq.html
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