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Re: st: Re: Endogenous right hand side variable


From   Deepankar Basu <basu.15@osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Endogenous right hand side variable
Date   Tue, 06 Jun 2006 12:08:55 -0400

Kathleen,

Some quick thoughts on your questions.

1. Why do you want the endogenous variable to be estimated with a tobit
regression? The variable in question does not seem to  be a discrete
random variable. If it has a mixture distribution, you might want to do
a joint likelihood estimation as Rodrigo suggests.

2. If you want a two-stage procedure with a tobit in the first stage and
an OLS in the second, you could look at Heckman-type selection models. 

Deepankar 

On Tue, 2006-06-06 at 11:44 -0400, Rodrigo A. Alfaro wrote:
> 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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