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Re: st: IV Question: probit model at 1st stage & survival model at 2nd stage
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: IV Question: probit model at 1st stage & survival model at 2nd stage
Date
Fri, 8 Nov 2013 10:17:41 -0500
I agree with John, but I should add that not only you are fine with
the linear probability model, but you should NOT run a probit first
stage and then do a second stage in a 2SLS fashion. Beware of running
a probit in the first stage and then using the predicted values for
your second stage. 2SLS only works with linear models.
--------------------------------------------
Jorge Eduardo Pérez Pérez
Graduate Student
Department of Economics
Brown University
On Fri, Nov 8, 2013 at 4:53 AM, John Antonakis <[email protected]> wrote:
> Hi:
>
> Actually you are fine using linear probability model:
>
> Angrist, J. D. 2001. Estimation of limited dependent variable models with
> dummy endogenous regressors: Simple strategies for empirical practice.
> Journal of Business & Economic Statistics, 19(1): 2-16.
>
> If you really want to have a probit first-stage then look at the
> user-written command -cmp- which correlates the disturbances from the probit
> and y equations; the latter is needed to have an IV-estimator (Antonakis,
> J., Bendahan, S., Jacquart, P., & Lalive, R. 2010. On making causal claims:
> A review and recommendations. The Leadership Quarterly, 21(6): 1086-1120)
>
> Hope this helps.
> J.
>
> __________________________________________
>
> John Antonakis
> Professor of Organizational Behavior
> Director, Ph.D. Program in Management
>
> Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor:
> The Leadership Quarterly
> Organizational Research Methods
> __________________________________________
>
>
> On 08.11.2013 10:29, honglong wrote:
>> Dear Statalist,
>>
>> I am working on a survival analysis project, and about to use Instrumental
>> Variables. The key independent variable is a binary number, therefore at the
>> 1st stage I have to use a probit or logit model. However, I could not figure
>> out any Stata command that can do a probit model at the 1st stage while a
>> cox model (survival model) at the 2nd stage.
>>
>> Could anyone please help me on this? Thank you very much for your kind
>> help!
>>
>> Best regards,
>> Long
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>
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