Dear all,
I am running an IV ordered probit regression using the cmp command. The dependent variable is education level (discrete and ordered), which is regressed on patience and a set of controls. My idea is to instrument patience with parents’ education.
The cmp command (approach 1) is the following:
cmp (edulevel=patience `controls') (patience=parentsedu `controls') , ind($cmp_oprobit $cmp_cont) nolr
I tried to replicate the results manually by using a two-step procedure (approach 2), where I regress patience on its instruments, and use the predicted values of patience in the ordered probit estimation:
regress patience parentsedu `controls'
predict patiencehat
oprobit edulevel patiencehat `controls'
The results differ substantially. I noticed that using cmp the sample sizes change between the different steps. But even when keeping the sample size constant, I do not obtain the same results as with the first approach.
How exactly does cmp fit the model, respectively why do the results of the approaches differ? Does the manual implementation of approach 2 make sense, or was it a bad idea in the first place?
Thank you in advance.
I am running an IV ordered probit regression using the cmp command. The dependent variable is education level (discrete and ordered), which is regressed on patience and a set of controls. My idea is to instrument patience with parents’ education.
The cmp command (approach 1) is the following:
cmp (edulevel=patience `controls') (patience=parentsedu `controls') , ind($cmp_oprobit $cmp_cont) nolr
I tried to replicate the results manually by using a two-step procedure (approach 2), where I regress patience on its instruments, and use the predicted values of patience in the ordered probit estimation:
regress patience parentsedu `controls'
predict patiencehat
oprobit edulevel patiencehat `controls'
The results differ substantially. I noticed that using cmp the sample sizes change between the different steps. But even when keeping the sample size constant, I do not obtain the same results as with the first approach.
How exactly does cmp fit the model, respectively why do the results of the approaches differ? Does the manual implementation of approach 2 make sense, or was it a bad idea in the first place?
Thank you in advance.
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