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  • Marginal effects of quadratic endogenous RHS variable using ivprobit

    Dear StataList,

    I am trying to obtain the marginal effects, with correct confidence intervals, for a probit model that includes an endogenous (continuous) RHS variable, and its square. I am using Stata 13.

    I had hoped to use a series of commands like the following:

    ivprobit Y X1 (c.X2##c.X2 = Z1 Z2) , vce(cluster CLUSTER_ID)
    margins, dydx(X2) atmeans

    However, the first line of code exits with the following error message:

    Fitting exogenous probit model

    Iteration 0: log likelihood = -6048.0731
    Iteration 1: log likelihood = -5789.8368
    Iteration 2: log likelihood = -5788.8483
    Iteration 3: log likelihood = -5788.8482
    could not find initial values

    The code does not end in an error when I execute:

    gen X2_2=X2*X2
    ivprobit Y X1 (X2 X2_2 = Z1 Z2) , vce(cluster CLUSTER_ID)

    However, I do not know how to simply get the confidence intervals for the marginal effect of a change in X2 in this circumstance.

    Is there a straightforward way to achieve what I am after? If not, I had thought to manually calculate the marginal effect from the regression that doesn't use the "c." and "##" operators, and bootstrap the standard errors with the cluster option. Does this seem like a sound strategy?