Dear Erdal,
Is it that your dependent variable Y is censored, so that your model would be a censored regression model with an endogenous explanatory variable S that is fully observed ?
Wooldridge, in his new book (the econometric analysis of cross-section and panel data) addresses this in section 16.6.2 (p. 530-533) on censored tobit model with an endogenous explanatory variable. He refers to the two-stage Smith-Blundell procedure in order to test for the endogeneity of S in censored regression model and to obtain average partial effects.
Also, there is a command in Stata which you may want to check: ivtobit.
I hope I have not misundertood your problem,
Thi Minh Ngo
PhD candidate
London School of Economics
DESTIN
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Date: Thu, 17 Apr 2003 17:02:28 -0400
From: "Erdal Tekin" <prcete@langate.gsu.edu>
Subject: st: IV and sample selection
Hi,
I am trying to estimate two equations specified as the following:
S = Xa + Zb +e1
Y = cS + Xd + e2
S is an endogenous variable. Normally, these two equations can be estimated using the ivreg command and identification is achieved by the exclusions restrictions (Z's).
Here is the problem, S, Z, and X are observed for everybody in the sample, but Y is observed for only if P=1 and P is another endogenous variable. Thus, I need to estimate an equation for P as well.
Is it possible to estimate these three equations together in STATA which will take care of both the selection and the endogeneity issues?
How about I do a selection correction for Y equation first and construct a predicted Y for eveybody in the sample, then estimate S and Y equations using the ivreg? Would this work fine?
Thanks in advance for your answers.
Erdal
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