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st: 2SLS with a censored endogenous variable
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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