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Subject: AW: st: IV probit with dummy endogenous regessors
Date: Thu, 10 May 2007 21:04:12 +0200
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Partha, I am not sure with mvprobit in that case.
As it is mentioned somewhere of the authors, mvprobit fits SUR-like models.
If there is an endogenous variable on the right hand side, the SUR assumtio=
n
would not hold since it does not include the endogenarity.
Stephan
-----Urspr=FCngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Partha Deb
Gesendet: Donnerstag, 10. Mai 2007 20:47
An: [email protected]
Betreff: Re: st: IV probit with dummy endogenous regessors
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
[email protected] 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" <[email protected]>
Date:
Thu, 10 May 2007 11:05:27 -0500 (CDT)
To:
[email protected]
To:
[email protected]
On Thu, 10 May 2007 [email protected] 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* =3D x'beta + delta*y2 + u1
y2 =3D x'gamma + z'eta + v2
with y1 =3D 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
-- [email protected]
Reference
----------
Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and
Panel Data. Cambridge, MA: MIT Press.
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--=20
Partha Deb
Department of Economics
Hunter College
ph: (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/
Emancipate yourselves from mental slavery
None but ourselves can free our minds.
=09- Bob Marley
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