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Re: st: Multiple Endogenous Variables in Count Data Model (Poisson or Negative Binomial).


From   "ippab ippab" <ippab.statalist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Multiple Endogenous Variables in Count Data Model (Poisson or Negative Binomial).
Date   Wed, 12 Nov 2008 14:53:00 -0700

Thanks a lot Austin!

On Wed, Nov 12, 2008 at 12:54 PM, Austin Nichols
<austinnichols@gmail.com> wrote:
> ippab <ippab.statalist@gmail.com> :
> Short answer--yes, include two residuals.  Or
> ssc install ivpois, replace
> help ivpois
>
> On Wed, Nov 12, 2008 at 2:17 PM, ippab ippab <ippab.statalist@gmail.com> wrote:
>> Hi All,
>>
>> I have a negative binomial model with 2 endogenous variables.  I also
>> have two instruments.  However, I am not totally sure how we can test
>> for endogeneity in this situation.
>>
>> I know that Wooldridge (2002) in Section 19.5.1 outlines a two-step
>> approach for testing endogeneity with one endogenous variable.
>> According to that approach, we need to calculate the residual from OLS
>> in the first stage and include it in the original model.  Can we
>> extend it to two endogenous variables -- calculate two residuals
>> (include all exogenous variables and two instruments in each OLS) and
>> estimate the original Poisson/negative binomial model with the
>> residuals.
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