Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: st: endogenous interaction term


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: endogenous interaction term
Date   Wed, 22 Oct 2008 12:43:30 +0100

Gordon,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Gordon Gordon
> Sent: Tuesday, October 21, 2008 7:27 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: endogenous interaction term
> 
> Thanks a lot Austin!
> 
> However in my case, the endogenous variable X1 is a dummy 
> variable, and my first stage regression is a probit model,
> then I plug the Inverse Mills Ratio to the second stage
> regression. It is not clear to me how to use the typical IV 
> approach in this setting.  Could you advice?

I think you're on the wrong track here.  You should probably be thinking along the lines of Stata's built-in -treatreg-, the add-ins -cdsimeq- or -cmp-, or alternative procedures such as the one that Jeff Wooldridge describes in his 2002 book.

Have a look at some past discussions on the list and the threads and references therein:

http://www.stata.com/statalist/archive/2004-09/msg00352.html

http://www.stata.com/statalist/archive/2007-04/msg00945.html

HTH.

Cheers,
Mark

> 
> Gordon
> 
> 
> 
> ----- Original Message ----
> From: Austin Nichols <austinnichols@gmail.com>
> To: statalist@hsphsun2.harvard.edu
> Sent: Monday, October 20, 2008 3:59:08 PM
> Subject: Re: st: endogenous interaction term
> 
> Gordon <gordon.stat@yahoo.com>:
> See e.g.
> http://www.stata.com/statalist/archive/2004-08/msg00780.html
> With multiple instruments and multiple endog vars, you may want to use
> LIML so -ivreg2- will give you a little more room to pass the weak ID
> tests of Stock and Yogo (see the help file for -ivreg2-, on SSC) since
> LIML is slightly more robust to multiple weak instruments.
> 
> On Mon, Oct 20, 2008 at 1:06 PM, Gordon Gordon 
> <gordon.stat@yahoo.com> wrote:
> > Hi there,
> >
> > I would like to estimate the following equation:
> >
> > Y = b0+ b1*X1 +b2* X2 + b3*X1*X2
> >
> > X1 is a dummy variable and endogenous, X2 is exogenous and 
> normalized.
> >
> > If there are no interaction term, I can apply either IV or 
> Heckman two stage to correct the endogeneity of X1.
> >
> > However with the interaction term of X1*X2, I do not know 
> how to deal with it.
> >
> > Any advice is much appreciated!
> >
> > Gordon
> *
> *  For searches and help try:
> *  http://www.stata.com/help.cgi?search
> *  http://www.stata..com/support/statalist/faq
> *  http://www.ats.ucla.edu/stat/stata/
> 
> 
> 
>       
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 


-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index