On Wed 24 Mar 2021 at 07:54, hannelore nelissen < hannelore.nelis...@outlook.be> wrote:
> Dear all, > I am having some issues with using the IV strategy for an endogeneity > problem in terms of a probit model. In particular, I want to follow a > two-stage procedure where I estimate a probit on the decision to peg the > exchange rate, and then use the predicted values in the second stage > regression. So, I need to get a probability that the country has a peg > (estimated based on the Z variables). So, in the second stage, I have to > include this estimated probability of the first stage (and exclude the Z > variables that showed a significant effect). However, I do not know how to > get this estimated probability of the first stage which I can then include > in my second stage? > Can somebody help me with the command I should use? > > > I would really appreciate it, thanks Dear all, > > > I find it a bit difficult to follow your question. You might find Lee (1981), Simultaneous Equation Models with discrete and censored dependent variables, in Mansfield and McFadden (Ed’s), 346-364, MIT, helpful in suggesting ways to proceed. Chapter 19 of Wooldridge :(2010), Econometric Analysis of Cross Section and Panel Data, Princeton, may also be useful. You might look at the r packages ivprobit and ivporbit > > Verzonden vanuit Mail<https://go.microsoft.com/fwlink/?LinkId=550986> > voor Windows 10 > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- John C Frain 3 Aranleigh Park Rathfarnham Dublin 14 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:fra...@tcd.ie mailto:fra...@gmail.com [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
