On Wed 24 Mar 2021 at 07:54, hannelore nelissen <
hannelore.nelissen at 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
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