Probit model- endogeneity issue

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Probit model- endogeneity issue

hannelore nelissen
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,




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Re: Probit model- endogeneity issue

John C Frain
On Wed 24 Mar 2021 at 07:54, hannelore nelissen <
[hidden email]> 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]]
>
> ______________________________________________
> [hidden email] 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
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Dublin 14
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:[hidden email]
mailto:[hidden email]

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