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st: RV: endogeneity


From   Ricardo Henriquez <rhenriquez@sii.cl>
To   statalist@hsphsun2.harvard.edu
Subject   st: RV: endogeneity
Date   Thu, 07 Aug 2003 11:33:42 -0400

Hi all statalist readers:

I am estimating the following two-equation model:

Y1 = a1X1 + B1Y2 + e1

Y2*= a2X2 + e2

where Y2=1 if Y2*>0
	Y2=0 otherwise

Y1 is censored at zero and Y2 is binary (the realised value of the latent
variable
Y2*). Since Y2 is assumed to be endogenous I first obtained a prediction for
Y2 from a probit regression of Y2 on several regressors thought to influence
Y2. This predicted value was then used in a tobit second stage estimation of
Y1. Just to check, I also run a tobit for Y1 using simply a dummy for Y2,
and the coeffients obtained were different in magnitud. I wonder if the fact
of obtaining different results is in some way indicative that the first
approach is correct, i.e. using a prediction for Y2 instead of a dummy. Of
course I tested the endogeneity of Y2, but I am not sure if the estimation
approach is really correcting for the presumed endogeneity of Y2.


Thanks in advance for any help.


Ricardo Henríquez
Chile

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