Re: st: IV probit with dummy endogenous regessors

[Partha Deb <partha.deb@hunter.cuny.edu>]

Margherita,

-biprobit- works nicely if you have one endogenous (and binary) regressor. 
-mvprobit- would work with multiple, binary regressors.

Both models are subject to distributional assumptions.

Hope this helps.

Partha


margherita.comola@upf.edu wrote:

> ... is there any other Stata command suitable for the probit with endogenous dummy?
>
> thanks alot
> Margherita
>
>
> ------------------------------------------------------------------------
>
> Subject:
> Re: st: IV probit with dummy endogenous regessors
> From:
> "Brian P. Poi" <bpoi@stata.com>
> Date:
> Thu, 10 May 2007 11:05:27 -0500 (CDT)
> To:
> statalist@hsphsun2.harvard.edu
>
> To:
> statalist@hsphsun2.harvard.edu
>
>
>
> On Thu, 10 May 2007 margherita.comola@upf.edu wrote:
>
> > Dear Statalister,
> >
> > I have a few basic questions about IV probit.
> >
> > My model is a probit with dummy endogenous regressors (for every dummy 
> > endogenous regressor I have 3 dummy instruments).
> >
> > Can I use ivprobit, or it can be only used with continuous endogenous 
> > regressors?
> As Wooldridge (2002, p. 472) emphasizes, both the two-step and 
> maximum-likelihood estimators implemented by -ivprobit- (and -ivtobit-) 
> require that the endogenous regressors be continuous.
>
> The model fitted by -ivprobit- can be written as
>
>    y1* = x'beta + delta*y2 + u1
>    y2  = x'gamma + z'eta + v2
>
> with y1 = 1 if y1* > 0 and 0 otherwise, where y2 is endogenous, x 
> represents the included exogenous variables, and z are the additional 
> instruments.  Both estimators assume that u1 and v2 are bivariate 
> normal. Thus, since v2 is normal, y2 given x and z must also be normal, 
> and that rules out discrete variables (of which a dummy is a special case).
>
>   -- Brian Poi
>   -- bpoi@stata.com
>
>
> Reference
> ----------
> Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and 
> Panel Data.  Cambridge, MA: MIT Press.
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--
Partha Deb
Department of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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