2SLS with Probit in first stage regression

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

alexcrg
Posts: 1
Joined: Sat May 03, 2014 2:49 pm

2SLS with Probit in first stage regression

Postby alexcrg » Sat May 03, 2014 3:10 pm

Hi,

I'd like to do a 2SLS estimation using Probit for the first-stage regression (see Wooldridge 2002 P.623).

Eg: y = a + b1x1 + b2x2 + u, where x1 is an endogenous dummy variable, and where I would like to use z1 as an instrument for x1.

So first stage regression (Probit):
x1 = a + b1z1 + b2x2 + e

Having obtained the fitted probabilities x1hat, estimate equation by IV:
y = a + b1x1hat + b2x2 + u

I'd like to know how to do this procedure on Eviews so would really appreciate advice on this.

Many thanks.

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests