Thank you very much. I definitely don�t want to get standard errors
that are too small, the problem is that I don't know how to it right.
My model is like this:
Y*= aZ + bC +bC^2 + e
Y*>0, Y=1
Y*<0, Y=0
Z: exogenous regressors
As I mentioned before C is correlated with e. I have instruments (W)
but don�t know how to do a correct estimation. ivprobit doesn`t allow
for a square term.
I asked before in statalist if this would be right, but got no answer:
ivprobit Y Z (C Csquared=W Chatsquared)
Chatsquare: square of predicted values of regressio of C on Z and W.
2008/6/9 David Greenberg <[email protected]>:
> If you do the estimation m,anually by substituting the predicted value of a predictor into an equation for the second-stage estimation, the software will treat that predicted value as a true observed value, ignoring the fact that there is some uncertainty surrounding the prediction in the first stage. Consequently the second-stage estimation is going to produce estimates with standard errors that are too small. A question that one might ask is why you want to do this manually. David Greenberg, Sociology Department, New York University
>
> ----- Original Message -----
> From: Leda Inga <[email protected]>
> Date: Monday, June 9, 2008 7:19 pm
> Subject: st: About the consequence of doing a two step estimation manually
> To: [email protected]
>
>
>> Dear statalisters:
>>
>> I've tried to found a way to do a correct two step estimation but
>> haven't found an answer. I have an explanatory variable correlated
>> with the error term and that variable enters the model also with a
>> square term. I know that if the estimation is done manually the betas
>> are still consistent and that the problem is the standard errors are
>> not correctly calculated. What I would like to know is if the standard
>> errors are subestimated or overestimaded? The pvalue of one of the
>> regressors of my model is very high and would like to know if the true
>> pvalue is higher or lower.
>>
>> Thanks in advance.
>> *
>> * For searches and help try:
>> * http://www.stata.com/support/faqs/res/findit.html
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
