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Re: st: Probit analysis with panel data and endogeneous explicative variables


From   "Austin Nichols" <[email protected]>
To   [email protected]
Subject   Re: st: Probit analysis with panel data and endogeneous explicative variables
Date   Sat, 4 Mar 2006 16:55:12 -0500

The two-stage regression you describe is certainly not the right way
to go, and there are general problems with running a probit with fixed
effects in panels (search for "incidental parameters" on google.com,
and see e.g. http://www.msu.edu/~ec/faculty/wooldridge/current%20research/panel4r9.pdf),
much less with endogenous explanatory variables.

But it looks like you should be using survival analysis, anyway, where
the transition from the status of temporary to long-term employee
would be the "failure" modeled.  See -help st- for more info.

On 3/3/06, Elena Giarda <[email protected]> wrote:
> I have a very large data-set of individual earnings, with a panel data
> structure, covering the period 1985-2004. I would like to estimate the
> probabilities of transition from the status of temporary to long-term
> employee.

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