Wednesday, March 15, 2006

RE: st: IV with oprobit / mprobit?

On Wed, 15 Mar 2006, Tobias Hofmann wrote:

> Dear Brian, dear all, > > Thanks for your quick response! > > Not knowing what exactly Bart was looking for, I envisioned - as you > correctly assumed - a model in which the endogenous regressor is an ordered > categorical variable and the dependent variable is continuous (i.e. the > first stage is fitted via -oprobit- and the second stage via -regress-). > > Now, my follow-up question referred to the corrected standard errors from > the second stage regression. By elaborating on the code provided (see > below), how could the corrected standard errors be "made" robust (as Stata > would do if you added the -, robust- or -, cluster(var)- options to an > existing/implemented estimation command) in a simple way. > > Your guess that the treatment effects literature may have something to say > about that is most probably correct. Being a novice to this literature, I'm > wondering whether you could provide me with a couple of more precise > references? Thanks! > > Best regards, > Tobias >

Regarding robust covariance matrices for two-step estimators, there was an article by James Hardin in the Stata Journal (2002, v. 2, #3). The tricky part is in getting all of the required derivatives.

There is an article by Angrist and Imbens in the Journal of the American Statistical Association (1995, v. 90, #430) that discusses treatment effect estimation with variable treatment intensities.

HTH

-- Brian Poi -- bpoi@stata.com

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