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Re: st: limited dependent variables


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: limited dependent variables
Date   Thu, 7 May 2009 13:18:03 -0400

Franken, Jason R. <frankenj@missouri.edu>:
I think the reference does not apply to your case; I think you do not
want -truncreg- (or -heckman-? you don't specify whether the contract
length is the outcome or explanatory variable) because of the
normality assumption required.  You have censoring in a survival
model--read the material at
http://www.iser.essex.ac.uk/iser/teaching/module-ec968 for starters.
For more help, you should be more specific about the model you hope to estimate.

On Thu, May 7, 2009 at 1:07 PM, Franken, Jason R. <frankenj@missouri.edu> wrote:
>
> Is there a user-written program appropriate for the type of truncated data discussed in Maddala (1983, p.165-170): "Limited-Dependent and Qualitative Variables in Econometrics"?
>
> I have data on contract duration for contracts observed in 2006 but signed at earlier dates.  This means that I observe some contracts with a duration of ten years, but I do not observe a contract signed in the same year with a duration of 3 years (that is, it was binding for only 3 years).  OLS estimates are therefore biased, and MLE is needed.

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