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Re: st: 2SLS with a censored endogenous variable


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 2SLS with a censored endogenous variable
Date   Tue, 25 Feb 2003 18:09:32 -0000

You can use single-equation IV and it's consistent - no problem.  
It's not hard to prove it or see that it's true because the standard 
proof of consistency of IV doesn't depend on the functional form of 
the equations your not estimating. ... But if you want a reference, I 
think there's a paragraph about it in J. Angrist and A. Krueger, 
"Instrumental Variables and the Search for Identification," Journal 
of Economic Perspectives, Fall 2001.  Their reference is to an 
endogenous variable that is a 1/0 outcome, but it's the same point.

Hope this helps.

--Mark


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

> 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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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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*   http://www.ats.ucla.edu/stat/stata/



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