[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Robert Duval <rduval@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: switching regression and endogenous variables in mlogit |

Date |
Fri, 15 Apr 2005 13:04:28 -0400 |

Ravi, The way you formulated your model seems to as a restricted (or simplified) version of the switching regression model (i,e, the one i mentioned in my previous email). In your version, the coefficients for x1-x3 are restricted to be the same under both regimes (i.e. stabilization programs or not). Some people call this in the litetature an endogenous dummy variable problem. The inconsistency that arises from this endogeneity can be solved by: 1) Estimating "x4 = x1 x2 x5 +error", and using the predicted "x4 hat" out of this estimation, in the second-stage estimation of your main equation of interest "Tariff level = x1 x2 x3 'x4 hat' +e". You would have to be careful in adjusting the standard errors in the second stage because the x4 is a predicted variable with its own intrinsic variability (this is called generated regressor adjustment in the literature). 2) You can also use the residuals obtained from estimating "x4 = x1 x2 x5 +error", denoted by 'v hat' and add them as a regressor in your equation of interest, i.e. "Tariff level = x1 x2 x3 x4 'v hat' + e" Notice that in here the the x4 variable doesn't need to be modified. The previous comments of adjusting the se's still apply. If you are willing to assume normality in the second equation, then these routines should be quite easy to implement using probit. I think that the treatment effects type of models should also give you the answer you're looking for. Although, I have never used their commands in STATA, the set-up of your problem seems to me the same as the one those models are trying to estimating. If you want to read more about this I suggest you check either the Maddala (1983) textbook on LIMited Dependent variables, or the Vella (1998) "Estimating Models with Sample selection bias: A survey" in the Journal of Human Resources , or the Wooldrige graduate textbook. Best Robert On 4/15/05, Yatawara, Ravi <yatawarr@lerner.udel.edu> wrote: > To expand on my investigation .... > I consider the effect on tariffs of adopting a stabilization plan. The > endogeneity issue arises in that the decision to the adopt a > stabilization program is a choice variable, correlated with > unobservables (relegated to the error term ) that affect tariff levels. > Each data point is a country year. > > So I have 2 equations > 1) Tariff level = x1 x2 x3 x4 ( where x4=dummy if stabilization occurred > that year) + error > 2) Stabilization ( 0 or 1) = x1 x2 x5 +error > > Appreciate any help. I also tried a treatment effects model. > Best, > Ravi > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert Duval > Sent: Friday, April 15, 2005 1:43 AM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: switching regression and endogenous variables in mlogit > > Does 'movestay' helps solving your question 1? In general, in the > traditional switching regression model (a la Maddala and Nelson,1975) > the covariance between the errors in the two outcome equations is not > identified. Maybe if you explain more in detail what are you trying to > estimate it would help... > > best > robert > > On 4/15/05, Yatawara, Ravi <yatawarr@lerner.udel.edu> wrote: > > Folks, > > > > I have two questions, > > 1) does anyone have a program for doing switching regressions? The > > switchr in stata is not what I need since my errors in the two > equations > > are NOT > > independent, and identically distributed. > > > > 2) Is there a way to tackle a potentially endogenous variable in a > > multinomial logit estimation equation? > > > > Thanks > > Ravi > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: switching regression and endogenous variables in mlogit***From:*Mary Alexinskaya <alexinskaya@yahoo.com>

**References**:**RE: st: switching regression and endogenous variables in mlogit***From:*"Yatawara, Ravi" <yatawarr@lerner.udel.edu>

- Prev by Date:
**Antwort: st: numbering observations** - Next by Date:
**Re: st: RE: Update: Downloading ado files** - Previous by thread:
**RE: st: switching regression and endogenous variables in mlogit** - Next by thread:
**Re: st: switching regression and endogenous variables in mlogit** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |