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st: Re: Endogenous right hand side variable


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Endogenous right hand side variable
Date   Tue, 6 Jun 2006 11:44:22 -0400

Dear Kathleen,

I don't know if there is procedure in Stata for this model. The model sounds 
interesting, maybe there is some code in Gauss, Matlab or R.

An alternative solution if to estimate the entire problem in a joint 
framework. You could write down the likelihood for this problem and solve it 
using -ml- procedures in Stata. The book of Gould "MLE with Stata" could 
help you in this matter.

Rodrigo.

----- Original Message ----- 
From: "McCullough, Kathleen" <kmccullough@cob.fsu.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, June 06, 2006 9:20 AM
Subject: st: Endogenous right hand side variable


I seem to be having some trouble posting today, so I am going to send this 
message again.  I am sorry if it is a duplicate.

I am estimating a model with a endogenous right-hand side variable that is 
zero for over half of the observations.  Otherwise it is a continuous 
variable. The dependent variable is continuous.  Is there a specific 
procedure to help control for this situation?  I was concerned that using 
IVREG2 might not be effective as you cannot specify that the endogenous 
variable should be estimated with a tobit model.  It does not appear that 
there is a canned procedure with a first stage tobit and second stage OLS 
model.

I appreciate any suggestions that you might have.

Regards,
Kathleen


_______________________________________________________________

Kathleen A. McCullough, PhD
Assistant Professor
Florida State University
Department of Risk Management/Insurance, Real Estate, & Business Law
150 RBB
Tallahassee, FL 32306-1110

Phone: 850-644-8358
Fax:     850-644-4077


_______________________________________________________________




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