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st: Re: several endogenous dummies


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: several endogenous dummies
Date   Sat, 26 Aug 2006 00:22:27 -0400

Marijke,

I don't know the answer for your question but I can give you some questions 
that you can explore. Note that the reference that you wrote describes 1 
dummy variable, which sounds reasonable to do it by that procedure instead 
of linear IV. Moreover, Wooldridge said that the estimation of the 
parameters and the specification of the model in the first stage do not 
affect the standard errors of 2SLS. Great!!!

How many instruments are you going to use for these dummies? Same set for 
each one? What number several means? Why not combine the choices into a
multinominal problem (solving by mlogit or mprobit)? After you feel 
confortable with your entire model, equations for the dummies plus your 2SLS 
one I think that it is not longer valid the non-effect on std errors when 
you are trying to solve for several endogenous dummies.

Maybe a full characterization of the problem is the way to go. You can 
describe all the process (endogenous dummies plus your continuous variable) 
as a maximum likelihood framework. You will pay with additional assumption 
above the model but the reward will be a complete system with "no-better" 
standard errors.

Rodrigo.



----- Original Message ----- 
From: "Verpoorten, Marijke" <Marijke.Verpoorten@econ.kuleuven.be>
To: <statalist@hsphsun2.harvard.edu>; <statalist@hsphsun2.harvard.edu>; 
<statalist@hsphsun2.harvard.edu>
Sent: Friday, August 25, 2006 3:38 PM
Subject: st: several endogenous dummies


Dear statlisters,

I wonder whether, when having a continuous variable as a dependent variable 
and several endogenous dummies, it`s better to use the usual 2SLS (ivreg2), 
instead of instrumenting the dummies non-linearly (as in Wooldridge, 2002, 
p623-625). Could you help me with this question?

Kind regards,
Marijke

Disclaimer: http://www.kuleuven.be/cwis/email_disclaimer.htm


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