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st: IV Tobit


From   Daniel Lawson <dlawson@alumni.kzoo.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: IV Tobit
Date   Wed, 27 Feb 2008 12:02:36 -0500

Dear Statalist,

The Stata-provided function IV Tobit appears to estimate a model in  
which the ultimate dependent variable is censored but the instrumented  
variable is not.  Is there a Stata routine to do the opposite --  
estimate a model in which the ultimate dependent variable is  
uncensored, but the problematic endogenous variable that needs to be  
instrumented *is* censored?

A simple example in structural form:
Wage = B0 + B1 Time_in_training_sessions + B2 Experience + error_term
Time_in_training_sessions = G0 + G1 Wage + G2  
Dislike_for_training_sessions + error_term if G0 + G1 Wage + G2  
Dislike_for_training_sessions + error_term > 0 and 0 otherwise

Here, Dislike_for_training_sessions is an instrument for  
Time_in_training_sessions, but it takes a value of 0 for many  
individuals.

The online and paper documentation makes it clear that IV Tobit does  
not do what I want (it only handels censoring in the primary  
regression, not in the instrument regression).

The amazingly flexible cmp seems to require a diagonal structure,  
precluding the mutual endogenaity likely in IV cases.

Am I overlooking a way to use cmp, does another procedure exist, or do  
I need to work from scratch?  I don't want to re-invent the wheel if  
this is out there somewhere.

Peace,
Daniel Lawson
Assistant Professor of Economics
Drew University
dlawson@drew.edu


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