Re: st: limiting instruments in an ivprobit

[Nick Cox <njcoxstata@gmail.com>]

This is (emphatically) not my field, so this is more or less Esperanto to me.

Two comments nevertheless:

1. The question on Stack Overflow did receive an answer.

"In general all exogenous variables are always included as
instruments. Usually instruments are picked for variables which are
endogenous, but we can think (it follows from the mathematical
derivation of instrumental variable estimation) that we need to choose
the instruments for all the variables. Instruments for exogenous
variables then are naturally themselves."

I think you should explain why that is wrong or irrelevant, which
could be the only grounds for not mentioning it.

2. The syntax for -ivprobit- makes explicit how to list instrumental variables

 Maximum likelihood estimator

        ivprobit depvar [varlist1] (varlist2 = varlist_iv) [if] [in] [weight]
                 [, mle_options]


    Two-step estimator

        ivprobit depvar [varlist1] (varlist2 = varlist_iv) [if] [in] [weight] ,
                 twostep [tse_options]

The questioner on SO did not use that syntax, which may have been
behind their puzzlement.

(I edited "STATA" to "Stata" below.)

Nick

On Tue, Mar 26, 2013 at 6:57 PM, Andy Ratto <andyratto@gmail.com> wrote:

> I am using ivprobit for an instrumental variable analysis.  By
> default, ivprobit includes all independent variables as instruments.
> Here is a post from two years ago that described the issue with
> ivprobit and displays the output:
> http://stats.stackexchange.com/questions/8082/why-is-stata-automatically-converting-regressors-to-instrumental-variables-in-iv
>  There was not a solution to that post, and I was wondering if
> anything has changed in two years in the options for ivprobit, or if
> there are other methods in Stata to perform an instrumental variable
> probit which limits which variables are used as instruments.
>
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