2SLS with Probit in first stage regression
Posted: 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.
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.