Re: st: treatreg

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

Martin,

Two-step fits a probit in the first step so should be identical to the results 
from a probit.  The default (ML) fits a probit-like equation as part of a 
model with bivariate normal errors.  So the treatment equation is not a 
(univariate normal-based) probit equation.  Thus neither coefficients nor 
predictions will be the same.

Best.

Partha


Martin Weiss wrote:

> Dear Statalisters,
>
> try this in Stata:
>
>
> ****************************************************************************
> *************
> webuse labor, clear
> generate wc = 0
> replace wc = 1 if we > 12
>
> **********
> * ML
> qui{
> 	treatreg ww wa cit, treat(wc=wmed wfed) first
> 	predict treatprob, ptrt
> 	
> 	prob wc wmed wfed
> 	predict probit
> }
>
> compare tre pro
> **********
> * 2-step
> qui{
> 	treatreg ww wa cit, treat(wc=wmed wfed) first two
> 	predict treatprob2, ptrt
> }
>
> compare treatprob2 pro
> l tre* pro in 20/30
> ****************************************************************************
> *************
>
> and let me know: why are the first stage probit predicitions different
> between the ML and the conventional probit but not between the twostep and
> the conventional probit? Am I missing something here?
>
>
> Thanks in advance,
> Martin Weiss
> _________________________________________________________________
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>
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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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