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Re: st: Re: Endogenous right hand side variable


From   "David A. Jaeger" <dajaeg@wm.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Endogenous right hand side variable
Date   Tue, 6 Jun 2006 11:49:47 -0400 (EDT)

Why not use Tobit in the first stage, OLS in the 2nd stage, and bootstrap
the standard errors?  Shouldn't be too hard to do that in Stata.

David Jaeger

______________________________________________________
David A. Jaeger, Assoc. Prof. of Econ. & Public Policy
College of William and Mary, USA


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