Hello,
I currently try to estimate an IV Probit using Lewbel's heteroscedasticity based IV-Method.
Lewbel, A, 2012. Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models. Journal of Business and Economic Statistics, 30:1, 67-80.
I would like to apply this approach on a a Probit IV estimation. Kit Baum has written ivreg2h and my initial idea was to store the first stage fitted values of the endogenous variable and then plug them into a probit model and bootstrap the standard errors.
Thus, I tried to estimate:
ivreg2h y1 x1 x2 (y2=)
estimates restore _ivreg2_y2
predict y2_hat
bootsrap, reps(1000): probit y1 x1 x2 y2_hat
However, it did not work. Having a quick look at the source code of ivreg2h I saw that it is based on xtivreg2 which caused the error message after "estimates restore _ivreg2_y2" as it does not allow saving the fitted values from the first stage. I therefore adjusted the code marginally and replaced xtivreg2 by ivreg2. The "estimates restore _ivreg2_y2" command worked after this step and said that "results _ivreg2_price_gv are active now". However, the subsequent "predict y2_hat" command produced the following message:
variable __00000G not found.
r(111);
__00000G is one of the heteroscedasticity based instruments generated by the ivreg2h. Is there an option to solve this issue? I would appreciate any help.
Thanks and best wishes
Sven
I currently try to estimate an IV Probit using Lewbel's heteroscedasticity based IV-Method.
Lewbel, A, 2012. Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models. Journal of Business and Economic Statistics, 30:1, 67-80.
I would like to apply this approach on a a Probit IV estimation. Kit Baum has written ivreg2h and my initial idea was to store the first stage fitted values of the endogenous variable and then plug them into a probit model and bootstrap the standard errors.
Thus, I tried to estimate:
ivreg2h y1 x1 x2 (y2=)
estimates restore _ivreg2_y2
predict y2_hat
bootsrap, reps(1000): probit y1 x1 x2 y2_hat
However, it did not work. Having a quick look at the source code of ivreg2h I saw that it is based on xtivreg2 which caused the error message after "estimates restore _ivreg2_y2" as it does not allow saving the fitted values from the first stage. I therefore adjusted the code marginally and replaced xtivreg2 by ivreg2. The "estimates restore _ivreg2_y2" command worked after this step and said that "results _ivreg2_price_gv are active now". However, the subsequent "predict y2_hat" command produced the following message:
variable __00000G not found.
r(111);
__00000G is one of the heteroscedasticity based instruments generated by the ivreg2h. Is there an option to solve this issue? I would appreciate any help.
Thanks and best wishes
Sven
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