----- Original Message -----
From: "Jeff S. Pitblado" <[email protected]>
To: <[email protected]>
Sent: Friday, June 27, 2003 9:42 AM
Subject: st: [[email protected]: censored reg w/ binary explanatory var
that needs to be instrumented]
> Matt Barens <[email protected]> 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?
I believe -treatreg- can fit models where the first stage is binary and the
second stage is continuous.
> 2. Second, how does one do iv analysis in a censored regression?
Joe Harkness has written up an instrumental variable Tobit. Try -findit
ivtobit- for more details.
Hope this helps,
Scott
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