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st: 2SLS with a censored endogenous variable


From   "Ngo,PT (pgr)" <P.T.Ngo@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: 2SLS with a censored endogenous variable
Date   Tue, 25 Feb 2003 13:33:30 -0000

Dear Stata-listers,  

Could someone give me some guidance on the following estimation issue that I am having ?  

I would like to use 2SLS in order to control for the endogeneity of one variable using ivreg (or xtivreg since I am estimating a first-difference equation, using a two-year household panel data set).  The credit variable (total amount of formal credit) that I am instrumenting for is censored at 0 (about 50% of my households do not have credit).  Given that the data is censored, the first stage would be a tobit.  Is it still appropriate to use a linear estimaton for the first stage ?  What is the impact on the efficiency of the 2SLS/IV estimator and on the inference that I can make ?

I have looked into a number of books (Greene, Wooldrige 2001 and 2002, Davidson MacKinnon) but I could not find a reference to this problem.  Would someone know of a paper or a reference which addressed this estimation issue and could help me make up my mind as to what would be the best estimation strategy ?

Your guidance would be much appreciated,

Thanks a lot in advance,

Thi Minh Ngo
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