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st: ivprobit two-step estimator and marginal effects
From
Ellen Verhofstadt <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: ivprobit two-step estimator and marginal effects
Date
Mon, 6 Dec 2010 12:44:52 +0100
Hello,
I have a question with regard to the estimation of marginal effects after an ivprobit two-step estimation.
My question is related to a problem discussed by Ramani Gunatilaka and Brian Poi (2007) -and getting residuals in tobit estimation as discussed by Monica and Scott (2004)-.
Mister Poi proposes to use the method that can be found in Wooldridge (2002, Econometric Analysis of Cross Section and Panel Data) pp. 472-477 to obtain average partial effects after the two-step estimator.
However, after reading the proposed method I'm still doubting how to implement this in STATA.
y1 = x1 + x2 + x3 + y2 + y3 with y2 and y3 two endogenous regressors and y3 is censored.
This is how I would work in order to obtain the average partial effects.
regress y2 x1 x2 x3 z1 z2 z3
predict v2hat, resid
tobit y3 x1 x2 x3 z1 z2 z3 , ll(0) ul(1)
predict xb if e(sample), xb
gen v3hat = `depvar' - xb if e(sample)
probit y1 x1 x2 x3 y2 y3 v2hat v3hat
mfx
Will this method give me the -average partial- effects I'm looking for?
Thanks for your help,
Ellen
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