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st: correct SEs with 2SLS and count models


From   <durham@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: correct SEs with 2SLS and count models
Date   Tue, 2 May 2006 00:12:03 -0400

Hi @ll,

I have an endogeneity problem (continuous variable X1) in a regression model
with count outcomes (50% zeros); ideally, I would like to use NBREG or ZINB
in stage 2. I could simply use IVREG to estimate both equations
simultaneously, but that doesn't work given my DV. Alternatively, I could do
a first-stage regression and then add the predicted values X1_hat in my
stage 2. However, doing this results in incorrect SEs in stage 2 (they are
conditional on the b_hat from stage 1). So here are my questions:

1. Is there a stata command or .ado out there that does ML estimation of
instrumental variables models with count outcomes (similar to IVREG for
continuous DVs)?

or 

2. Is there a convenient way to compute the correct standard errors in a
traditional 2SLS estimation? I am thinking of bootstrapping of both
equations to get the empirical distribution of SEs, but I don't know how to
implement that in STATA :(.

Thanks so much!

Henry

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