Wednesday, March 15, 2006

RE: st: IV with oprobit / mprobit?

Dear Bart, dear all,

Please read this e-mail even if you are not interested in my response to Bart's question as you might be in the position to answer my follow-up question. ;-]

There seems to be no ado-file like IVoprobit or IVmprobit. However, you should be able to do something like that "by hand". I'm certainly not expert on this field, but here is an example of how such a "self made" code could look like:

clear sysuse auto xtile y2 = mpg, nq(3) quietly tab y2, gen(y2_) rename price y1 rename trunk z rename weight x * First-stage ordered probit: oprobit y2 z x predict p1 p2 p3, p * Second-stage OLS: regress y1 p2 p3 x * Correction of standard errors: drop p2 p3 rename y2_2 p2 rename y2_3 p3 predict residuals, resid replace residuals = residuals^2 quietly sum residuals scalar realmse = r(mean)*r(N)/e(df_r) matrix bmatrix = e(b) matrix Vmatrix = e(V) matrix Vmatrix = e(V) * realmse / e(rmse)^2 ereturn post bmatrix Vmatrix, noclear ereturn display clear

Now, here is/are my follow-up question(s):

a) What would the above code have to look like if I wanted Stata to return ROBUST corrected standard errors, i.e. if I wanted to use the Huber/White/sandwich estimator of variance?

b) What would it have to look like to use clustering, let's say, using the variable "foreign" to specify to which group each observation belongs?

Thank's for helping me out!

Best regards, Tobias

On 3/13/06, Bart Vanneste <> wrote:


Is it possible to use an instrumental variable approach with ordered or multinomial probit (or logit for that matter)? ivprobit / ivlogit seem to deal only with binary dependent variables.

In recent months several other posts have asked the same question, but to my knowledge a satisfactory solution has not been given.

Your response is greatly appreciated.

Best, Bart

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