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Re: RE: st: Can I apply -treatreg- if the endogenous variable iscontinuous?


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: Can I apply -treatreg- if the endogenous variable iscontinuous?
Date   Wed, 12 Aug 2009 11:22:29 -0400

No, that does not sound appropriate.  Why would you want to do that?
Is it because you have no candidates for excluded instruments and you
are hoping to identify off nonlinearities alone?  In that case, you
would be better off in general ignoring the endogeneity problem than
adopting such a strategy.  What you should do is find excluded
instruments and run -ivreg2- or -ivregress-.

2009/8/12  <gjhxmu@sina.com>:
> Hi Cam,
> thank you for your help and valuable reference.
>
> In fact, the endogenous variable is continuous in my example.
> So -ivreg2- is fit for it. My doubt is whether I can use -treatreg- in this way.
> Concretely, my outcome equation is ,
>
> y=a0+a1x1+a2x2+e
>
> where x1 is continuous and endogenous.
>
> Base on the median of x1, I could get x1dummy=(x1>r(p50)).Then put x1dummy as the
> dependent variable in the treat equation to calculate lambda.
> And at last, reg y x1 x2 lambda.
>
> Is is appropriate?
>
> thank you for any help!
>
> Best regards,
> Rose.
>
> ----- Original Message -----
> From: Cameron McIntosh <cnm100@hotmail.com>
> To: STATA LIST <statalist@hsphsun2.harvard.edu>
> Subject: RE: st: Can I apply -treatreg- if the endogenous variable iscontinuous?
> Date: 2009-8-12 03:24:14
>
> Hi Rose,
>
> Maybe look into cmp, which deals with mixed mode endogenous variables in simultaneous equation models:
>
> http://ideas.repec.org/c/boc/bocode/s456882.html
> http://www.stata.com/statalist/archive/2007-10/msg00646.html
>
> Cam
>
> ----------------------------------------
>> Date: Wed, 12 Aug 2009 01:35:24 +0800
>> From: gjhxmu@sina.com
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: Can I apply -treatreg- if the endogenous variable is continuous?
>>
>> I know "A treatment-effects model considers the effect of an endogenously chosen binary treatment on another endogenous continuous variable,conditional on two sets of independent variables".
>>
>> My doubt is as followings,
>>
>> If the endogenous variable is continuous, can I apply treatreg?
>> Namely, based on mean or median or something else, change the endogenous continuous variable
>> as a binary variable in the treat equation to calculate lambda, and then regress the outcome\main equation with the endogenous continuous variable and lambda as independents variables.
>>
>> Is this application appropriate?
>>
>> Thank you for any help!
>>
>> Best regards,
>> Rose.
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