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Well, the central problem , i.e. that you do not respect the syntax diagram
of -ivprobit-, remains. You probably think that you generated an endogenous
variable and Stata should therefore stop complaining. But Stata cannot know
what you did a couple of lines earlier. What it does want is that you convey
which variable you regard as endogenous and which instruments you supply for
the estimator to get down to business...
HTH
Martin
_______________________
----- Original Message -----
From: "Sachin Chintawar" <[email protected]>
To: <[email protected]>
Sent: Tuesday, April 21, 2009 7:08 PM
Subject: st: Re: Simulating Instrumental Variable Probit Model - Addendum
Dear Statalist Users
Well adding to my earlier program I did find a few silly mistakes that
I have cleaned up. Find a newer version of the program with more
doubts.
--------------------------------------------------Start
Example---------------------------------------------------------------------
global numobs 500 // sample size N
global numsims "1000" // number of simulations
set seed 123456789
capture program drop endoprob
program endoprob, rclass
version 10.1
drop _all
set obs $numobs
generate u = rnormal(0)
generate mu = rnormal(0)
generate x1 = rnormal(0)
generate z1 = rnormal(0) // 4 Instruements
generate z2 = rnormal(0)
generate z3 = rnormal(0)
generate z4 = rnormal(0)
// Also be written *drawnorm u mu x1 z1 z2 z3 z4
generate a = 0.5*u
generate x2 = z1 + z2 + z3 + z4 + a
regress x2 z1 z2 z3 z4 mu // endogenous regressor
with four instruments
predict px2
generate y = 0.5 + 2*x1 + px2 + mu + u>4 //Reduced Form Equation
ivprobit y x1 px2
return scalar b2 = _b[x1]
return scalar b3 = _b[px2]
return scalar se2 = _se[x1]
return scalar se3 = _b[px2]
end
simulate b2=r(b2) b3=r(b3) se2r=r(se2) se3r=r(se3), ///
reps($numsims): endoprob
mean b2 b3 se2r se3r
-------------------------------------------End
Example---------------------------------------------------------------------------------
1. Adding to my earlier problem if we run this program an error occurs
suggesting that there is no endogenous variable and that I use
-probit- . But this totally negates the question I want to answer -
the Amount of bias as we increase the number of instruments?
Any suggestions would be appreciated
I
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