[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: IV with missing values

From   sara borelli <>
Subject   st: IV with missing values
Date   Tue, 22 Jul 2008 12:52:26 +0000 (GMT)

Dear All,

I am estimating the following regression:

y1= ax + by2 + u
where y2 is endogenous and I am using some varaible z as identifying instrument

y1, x, z are osberved for the whole sample, but y2 is missing for 30% of observations.
If I use ivreg, stata estimates the model only on the non-missing observations. But I need to estimate the model on the whole sample.
Therefore I explicitly performed the two steps  separately, predicting y2 in the first stage for the whole sample and inserting it into the second stage. But I know the standard errors may be biased. Does anyone know a way to estimate this correctly?

Thank you for any help
Sara Borelli 

      Posta, news, sport, oroscopo: tutto in una sola pagina. 
Crea l&#39;home page che piace a te!

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index