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st: [matstata@yahoo.com: censored reg w/ binary explanatory var that needs to be instrumented]


From   "Jeff S. Pitblado" <jsp@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: [matstata@yahoo.com: censored reg w/ binary explanatory var that needs to be instrumented]
Date   Fri, 27 Jun 2003 09:42:47 -0500

Matt Barens <matstata@yahoo.com> asked me to forward the following to the
list:
 
------------------------------------------------------------------------------

Hello Statalisters, I have the following problem(s) and I was wondering if
there was a way to deal with this in stata 7 (although if there is a way to
deal with it in stata 8 I would also be interested in finding out how).
 
I want to do the following analysis. The dependent variable is dollar amount
in checking account. This is censored, because about 15% of the sample has a
missing value since they do not own a checking account. The main explanatory
variable I use and am interested in is whether the person owns a credit card
or not. Nonetheless, there is some potential endogeneity here (e.g. people who
spend more may both decide to hold a card and have more money in their
checking accounts). I have the following 3 questions:
 
1. First, I have some variables that I could use to instrument for credit card
holding. However, it is a binary variable, so normally I would want to do a
probit in the first stage, but I dont think the ivreg command allows for this.
Do I just forget about probit?
 
2. Second, how does one do iv analysis in a censored regression?
 
3. Third, there is one more issue. In order to hold a credit card, you
normally first need to have a checking account (and recall that it is account
ownership or not that creates the censoring in the regression). So even if one
solves the above two issues, how do I deal with this additional one?
 
thank you much for any ideas you might have on this,
matt

--Jeff 
  jpitblado@stata.com
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