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Re: st: Poisson Model with endogenous dummy variable


From   Partha Deb <partha.deb@hunter.cuny.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Poisson Model with endogenous dummy variable
Date   Wed, 20 Feb 2008 13:23:39 -0500

Maria,

I have code for a negative binomial outcome and binary treatment model estimated using maximum simulated likelihood. It should fit your case well. It also estimates models for gamma-distributed outcomes. You can get the package, -treatreg2-, by typing

net from http://urban.hunter.cuny.edu/~deb/Stata

from the command line in Stata.

Best.

Partha


Austin Nichols wrote:

I think Mullahy published a GMM estimator for this specific case, but
if you are willing to treat the endogenous dummy as continuous, you
can

ssc inst ivpois
probit x otherx* z*
predict phat
ivpois y otherx*, endog(x) exog(phat)

until you find a better estimator.

On Feb 20, 2008 11:21 AM,  <agostino@unical.it> wrote:
dear all,
I would like to estimate a poisson model which includes an endogenous
dummy variable. To be more precise, this dummy captures a "treatment
effect", hence I would like to model the selection process that
underlies it by a probit model, and use the fitted probabilities as
instruments for the dummy.
Does anyone of you know a Stata command (either built in or not) that
allows to estimate such a model?
thank you very much for any help
Maria

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--
Partha Deb
Department of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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