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st: binary endogenous variable with panel data


From   Pierre Azoulay <pierre.azoulay@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: binary endogenous variable with panel data
Date   Wed, 23 Nov 2005 10:09:34 -0500

I believe the answer is no. The newey method only works with
continuously distributed endogenous variables.

In general, estimating non-linear panel data models with endogeneity
requires GMM estimation. The idea is to treat the derivative of the
log likelihood function as implicitly defining a moment condition.
Unfortunately, Stata does not have a GMM routine at this point. It's
really one of the only critical gaps in what is otherwise a wonderful
package. I have a similar problem with count panel data models, and I
am going to have to do all these analyses in TSP.

Unfortunately, TSP does not handle weights, and TSP commands do not
have an easy to use cluster() option either.

Dr. Gould, Save us!

Pierre

Newey, Whitney K., "Efficient Estimation of Limited Dependent Variable
Models with Endogenous Explanatory Variables" Journal of Econometrics,
36(3) November 1987, pp. 231-50.

---------------------------------------------------------------------------------------------------------
Pierre Azoulay
Associate Professor of Management
Columbia University                           Phone: (212) 854-9684
Graduate School of Business                Fax:   Don't send any
3022 Broadway, Uris Hall 704
New York, NY 10023                        http://www.columbia.edu/~pa2009/

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