Here is an example of some output from -probitiv- using garbage data: * first we will run a regular probit with the left hand side variable * being "upst" and the right hand side variables being "fsmax", * "fsnet", and "maxpay": . probit upst fsmax fsnet maxpay Iteration 0: log likelihood = -9090.8142 Iteration 1: log likelihood = -8077.609 Iteration 2: log likelihood = -8052.7507 Iteration 3: log likelihood = -8052.3896 Iteration 4: log likelihood = -8052.3803 Probit estimates Number of obs = 13209 LR chi2(3) = 2076.87 Prob > chi2 = 0.0000 Log likelihood = -8052.3803 Pseudo R2 = 0.1142 ------------------------------------------------------------------------------ upst | Coef. Std. Err. z P>|z| [95% Conf. Interval] ---------+-------------------------------------------------------------------- fsmax | -.0006839 .0000379 -18.068 0.000 -.0007581 -.0006097 fsnet | .0001877 .0000135 13.861 0.000 .0001612 .0002142 maxpay | .0002746 6.99e-06 39.270 0.000 .0002609 .0002883 _cons | -.7670535 .0288786 -26.561 0.000 -.8236546 -.7104524 ------------------------------------------------------------------------------ * next we will run -probitiv- with the left hand side variable still * being "upst", the exogenous right hand side variables being * "fsnet" and "maxpay". The endogenous right hand side variable is * "fsmax", and the instrumental variable is "fsgross": . probitiv upst, exog(fsnet maxpay) endog( fsmax ) iv(fsgross) NOTE: ESTIMATES NOT CONSISTENT WHEN ENDOG VARIABLE IS BINARY!! CODE STILL RUNS, WHICH IS A PROBLEM....... (option xb assumed; fitted values) (7140 missing values generated) (0 real changes made) (7140 missing values generated) (0 real changes made) -------- -------- TEMPVAR: __000000 fsmax ; probitiv used 6069 observations ------------------------------------------------------------------------------ upst | Coef. Std. Err. t P>|t| [95% Conf. Interval] ---------+-------------------------------------------------------------------- __000000 | -.0015201 .0006926 -2.195 0.028 -.0028779 -.0001623 fsnet | .0005542 .0002709 2.046 0.041 .0000232 .0010852 maxpay | .000207 .0000102 20.360 0.000 .0001871 .000227 __000001 | -.0005575 .0000695 -8.025 0.000 -.0006937 -.0004213 _cons | -1.67872 .6695667 -2.507 0.012 -2.991308 -.3661312 ------------------------------------------------------------------------------ ln_L | -3659.929916491127 . . . . . * Things to note about -probitiv-'s output: * * 1) The two lines (all in caps) about binary endogenous variables * will always display -- they are there as a reminder. * * 2) The lines with stuff in parens are stata's output from the * "first-stage" and prediction parts of the estimates. They are just * things I forgot to put a -quietly- around. Ignore them unless you * are hacking the code and trying to debug. * * 3) The estimated IV coefficient on the endogenous right hand side * variable is given in this case by the row in the display matrix * beginning with "__000000". The reason is that to run the second * stage, -probitiv- first runs a linear regression of the form: * * . reg fsmax fsnet maxpay fsgross * * after which the predicted values of both "fsmax" and the residual * from this regression are created. Those residuals are then used in * probit estimation of the form: * * . probit upst fsmaxhat fsnet maxpay ehat * * where "fsmaxhat" and "ehat" are the predicted values just * described. * * 4) Hence in the example above, the variable "__000000" is the * predicted value of "fsmax" used in the second stage probit. This is * why the line above the coefficients table says * * "TEMPVAR: __000000 fsmax" * * This output is telling you the name of the variable that represents * predicted values of the variable "fsmax". * * 5) In the example above, the variable "__000001" is the predicted * value of the first-stage residual. It is an ancillary parameter and * can be ignored. See Newey's article if you are still wondering. * * 6) Don't bother trying to find out stuff about the predicted-values * variables (in this example "__000001" and "__000000"). These are * internal, temporary variables created by -probitiv-, and they are * destroyed as soon as -probitiv- finishes. * * 7) While -probitiv- spits out a log likelihood statistic from the * second-stage probit, I am not sure it is meaningful (since there are * predicted values on the right hand side). Maybe Newey's article says * something about this. Please note that everything above applies to -tobitiv-. Note also that the second-stage tobit assumes a lower limit (invariant across observations). If you need to change this, just go to line #69 of tobitiv.ado and make the necessary change.