I did use MLE of -ivprobit- . Thanks a lot, this is
helpful.
-Xin
--- "Brian P. Poi" <[email protected]> wrote:
> On Thu, 31 Jul 2008, wangxin wrote:
>
> > After using the ivprobit, how can stata report the
> > predicted value for the first stage? Specifically,
> the
> > predicted value for the endogenous variable.
> >
>
> Xin did not mention whether the maximum likelihood
> or two-step version of
> -ivprobit- is being used, so I'll address both.
>
> For the maximum likehood (default) version, although
> -predict- after
> -ivprobit- does not have an option for the predicted
> values for the
> reduced-form equation for the endogenous regressor,
> they can be obtained
> using -matrix score-:
>
> . sysuse auto
> . ivprobit foreign mpg (gear = turn head)
> . matrix b = e(b)
> . matrix score ghat = b, eq(#2)
>
> In the coefficient vector e(b), the first equation
> is the main response
> equation, and the second equation contains the
> equation for the endogenous
> regressor. If you have, say, two endogenous
> regressors, then the
> coefficients are stored in equations two and three.
>
> For the two-step estimator, e(b) only contains the
> coefficients for the
> main equation. However, in this case the
> "first-stage" equations are fit
> using OLS, so you can just re-fit those equations
> using -regress-, then
> use -predict- afterwards.
>
> -- Brian Poi
> -- [email protected]
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>
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