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Re: st: ivtobit and limited dependent endogenous variable


From   "feldman" <feldman@primal.ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivtobit and limited dependent endogenous variable
Date   Thu, 12 Jul 2007 07:10:32 -0700

Thanks to Brian for the clarification. Given that, are there
any options in Stata to deal with a tobit with and
endogenous variable that is itself censored?

Thanks for any help

Alejandro

----- Original Message Follows -----
From: "Brian P. Poi" <bpoi@stata.com>
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: ivtobit and limited dependent endogenous
variable
Date: Thu, 12 Jul 2007 08:09:58 -0500 (CDT)

> On Wed, 11 Jul 2007, feldman wrote:
> 
> > Hi,
> >
> > I know that ivtobit works well with a dummy endogenous
> > variable but I am not sure if
> > Is it ok to use ivtobit when the endogenous variable is
> > a limited dependent variable?  More precisely suppose
> > that for 30% of the sample the endogenous variable takes
> > the value 0 and for the rest it has a positive value
> > (the distribution of zeros in the endogenous variable is
> > different to the distribution of zeros in the dependent
> variable). >
> 
> Both -ivprobit- and -ivtobit- are for use when the
> endogenous variable is  *continuous*.  As Wooldridge (2002
> , p. 472) emphasizes, the error terms  for the structural
> equation and the equation for the endogenous regressor 
> are assumed to be distributed bivariate normal, which
> implies that the  endogenous regressor should have
> features of a normal distribution.
> 
> 
>     -- Brian Poi
>        bpoi@stata.com
> 
> 
> Wooldridge, J. M. (2002). Econometric Analysis of Cross
> Section and Panel  Data.  Cambridge, MA: MIT Press.
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