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Re: st: Re: instrumental variable panel probit


From   "Rodrigo A. Alfaro" <raalfaroa@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: instrumental variable panel probit
Date   Mon, 12 Mar 2007 16:43:38 -0400

Well, with 2 periods I don't think that you could identify the unobservable (FE or RE) in the nonlinear framework (probit). Maybe, there are estimations with T=2 and FE using Conditional Logit, but the endogeneity of your RHS is a problem to define the two step "selection" argument. Moreover, if the model is dynamic (as the lag of your dependent variables is the right hand side) it seems that the problem is even harder. For a large T, there are suggestions for the bias generated in the dynamic model. Greene (2002): http://www.stern.nyu.edu/~wgreene/nonlinearfixedeffects.pdf, Arellano and Hahn (2005): http://www.cemfi.es/~arellano/ah-r3.pdf, Arellano and Hahn(2006): http://www.cemfi.es/~arellano/arellano-hahn-paper2006.pdf with appendix: http://www.cemfi.es/~arellano/arellano-hahn-appendix2006.pdf and Fernandez-Val (2007) http://people.bu.edu/ivanf/wp_files/panelprobit_feb10_2007.pdf. But T needs to be at least 4.

R.


----- Original Message ----- From: "marco stampini" <marco_stampini@yahoo.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, March 12, 2007 2:27 PM
Subject: Re: st: Re: instrumental variable panel probit



Thanks Rodrigo.
I am sorry but I do not see how treatreg takes care of random (or fixed) effects.
Furthermore, it seems that it requires a continuous variable, while both my dependent and endogenous variables are dummy.
Marco

----- Original Message ----
From: Rodrigo A. Alfaro <raalfaroa@gmail.com>
To: statalist@hsphsun2.harvard.edu
Sent: Monday, March 12, 2007 1:43:39 PM
Subject: st: Re: instrumental variable panel probit


see -treatreg-
R.

----- Original Message ----- From: "marco stampini" <marco_stampini@yahoo.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, March 12, 2007 12:55 PM
Subject: st: instrumental variable panel probit



Hello.

I need to estimate the effect of a program on the likelihood to grow a
certain kind of crop. As participation in the program is endogenous, I
would like to use instrumental variables

ivprobit crop (program=z) x

where x are other household characteristics, and z are instruments.

As I have two points in time, I would like to consider some kind of
household effect. I realize I can't use fixed effect, so I could use
xtprobit, pa
However, if I understand correctly, this does not allow instrumenting.

Question 1: Does anybody know a way out of this problem?


Question 2:
What if estimated

ivprobit crop2 (delta_program=z) crop1 x1

where variables with suffix 2 refer to the second period, and those with 1
to the first period (initial characteristics) and
delta_program=program2-program1

I suspect the estimation would be biased, because of the inclusion of the
lagged dependent variable... Can anybody confirm?


Thank you very much in advance
Marco



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