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st: re: endogeneity and count models.


From   austin nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: endogeneity and count models.
Date   Mon, 22 Aug 2005 12:03:29 -0400

I believe you are referring below to -espoisson- from package st0057 (from
http://www.stata-journal.com/software/sj4-1), which I don't think is of use
to you. If the RHS trade variables are defined only for multinationals, then
only multinationals will appear in the regression, so you have a
non-representative sample of all firms, and a dummy won't help you. Is that
what you mean?

If you want to run a Poisson regression with an endogenous continuous
variable, and you have an instrumental variable, use the control function
approach described in Wooldridge, EACSPD 19.5.1, p664 (see
http://www.stata.com/bookstore/cspd.html and
http://www.stata.com/texts/eacsap/).

-----Original Message-----
From: liza jabbour [mailto:Liza.Jabbour@univ-paris1.fr]
Sent: Saturday, August 20, 2005 8:00 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: endogeneity and count models.

I am estimating a count model and I have an endogeneity problem. However my
endogenous varaibles are not dummies but continuous variables. I want to
estimate the impact of trade variables on innovation. The trade variables I
have are limited to multinational firms while the innovation activity is
not. The endogeneity of those variables comes from the fact that more
innovative firms have a higher probability of becoming multinationals.

I know that there is a GMM model that treat endogeneity in count models, but
I don't think that it is available with STATA. However STATA estiamtes a
"FIML estimation of an endogenous switching model for count data" where the
endogenous variable needs to be a dummy.

If I include in the "FIML estimation of an endogenous switching model for
count data" estimation a dummy for multinational firms and treat it as
endogenous, will this be sufficient to control for the endogeneity of the
trade variables.

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