Thursday, March 16, 2006

RE: st: IV with oprobit / mprobit?

Thanks very much for the useful reactions!

I should have been more precise. I have a continuous dependent variable and a discrete endogenous regressor (with 3 categories): y_cont = x_discrete + e

Could I also extend Rivers and Vuong (1988) when the x is categorical (i.e. not ordered), comparable to a multinomial probit?

Many thanks, Bart

--- "Brian P. Poi" <bpoi@stata.com> wrote:

> On Wed, 15 Mar 2006, Tobias Hofmann wrote: > > > 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: > > (message trimmed) > > > * First-stage ordered probit: > > oprobit y2 z x > > predict p1 p2 p3, p > > * Second-stage OLS: > > regress y1 p2 p3 x > > (message trimmed) > > > > > 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? > > > > Tobias, > > First, note that the two-step variant of the > official Stata command > -ivprobit- runs linear regression in the first > stage, and probit in the > second stage. That is, there is one or more > continuous endogenous > regressors in a model where the dependent variable > is dichotomous. > > In your program, the first stage is fit via > -oprobit- and the second stage > via -regress-, which implies to me that you are > envisioning a model in > which the endogenous regressor is an ordered > categorical variable and the > dependent variable is continuous. > > If you are interested in a model like -ivprobit- > with an ordered dependent > variable, then the two-step estimator of Rivers and > Vuong for probit > (1988, Journal of Econometrics) could probably be > extended in a > straightforward way. Newey's efficient estimator > (1987, Journal of > Econometrics) might also be a viable option, though > it would a bit more > work to code, since it makes use of a two-step > estimator like Rivers and > Voung's. The maximum likelihood estimator as used > by -ivprobit- could > also be generalized. (These ideas should be taken > as conjecture -- in > principle they should work, though I haven't done > the algebra to guarantee > that they will work or are practical to implement.) > > If, on the other hand, you mean a model where the > endogenous regressor is > an ordered categorical variable, then I don't have > anything to add, other > than a guess that the treatment effects literature > may have something to > say. > > HTH > > -- Brian Poi > -- bpoi@stata.com > * > * For searches and help try: > * > http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ >

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