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st: RE: correct SEs with 2SLS and count models


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: correct SEs with 2SLS and count models
Date   Tue, 2 May 2006 11:28:14 +0100

Henry, 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> durham@gmx.de
> Sent: 02 May 2006 05:12
> To: statalist@hsphsun2.harvard.edu
> Subject: st: correct SEs with 2SLS and count models
> 
> 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)?

-qvf- will fit generalized linear models and supports IV as well as
Poisson, negative binomial, etc.  -findit qvf- will take you there.

Cheers,
Mark
 
> 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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