You might consider making your dependent variable the natural log of the odds ratio. It has a range of minus infinity to plus infinity, so you won't have to worry about having a dependent variable with a limited range. You could then go ahead and estimate a fixed effects model. David Greenberg, Sociology Department, New York University.
----- Original Message -----
From: "Ngo,PT (pgr)" <[email protected]>
Date: Thursday, February 27, 2003 4:17 pm
Subject: st: Tobit Fixed Effects - Honore Trimmed LAD - violation of assumptions
> Dear Mark and Stata-listers,
>
> Thank you very much for your advice Mark, and for the reference.
>
> Could you help me with another query ? I would like to estimate a
> model using a panel household data set over two years. My left
> hand side variable is a proportion, so it is both censored at 0
> and 1. As I want to control for household heterogeneity, and
> given that the unobserved time-invariant effects are likely to be
> correlated with the regressors, ideally, I would like to estimate
> a tobit fixed effects model. I know that there is no command in
> Stata which would allow for it, Stata has only Tobit random
> effects. In a previous email, I was recommended the CLAD
> function.
>
> Is this the same as the Honore (1992) trimmed least absolute
> deviations that is reported in Baltagi 2001, 2nd edition, p. 212 ?
> How can I I check for the violations of the different assumptions
> underlying this estimation ?
>
> If I use xttobit (RE), again, how can I check for the violations
> of the different assumptions underlying the model (see Wooldridge,
> 2002, eco analysis of cross section and panel data, p. 541) ?
>
> Your guidance will be much appreciated. Thank you very much in
> advance.
> Thi Minh
>
>
>
> ------------------------------------------------------------
> Date: Tue, 25 Feb 2003 18:09:32 -0000
> From: "Mark Schaffer" <[email protected]>
> Subject: Re: st: 2SLS with a censored endogenous variable
>
> 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)" <[email protected]>
> To: <[email protected]>
> Send reply to: [email protected]
>
> > 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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>
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