Dear Statalist,
I have a question about specifying instruments in -ivprobit-, which
estimates a binary probit model with endogenous continuous regressors.
I want to regress Y on the endogenous variable of 'Lnincome' and
exogenous variables X1 and X2. 'Lnincome' is dependent on instruments
X2 and X3.
I used the syntax - ivprobit Y X1 X2 (Lnincome=X2 X3) - . It seems
that Stata 10 treats all variables as instruments for Lnincome, no
matter whether I used 'twostep' or 'mle' option. So, X1, X2, X3 were
all treated as regressors for Lnincome. Could you advise me how to
remove X1 from the instruments? I want X1 to be related to Y, not to
Lnincome. Are there some other ways to model this? Or, is it
appropriate for me to estimate Lnincome first and then include the
predicted Lnincome in the probit model?
Many thanks,
Yu
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