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Re: st: Selection model with multinomial selection AND endogenous regressor


From   margherita Comola <margherita.comola@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Selection model with multinomial selection AND endogenous regressor
Date   Fri, 11 Sep 2009 16:41:42 +0200

... multinomial selection is a necessary part of my model that I
cannot drop, and I have a good instrument for the endogeneity of
education. Thus my idea was to deal with both issues at the same time,
but I dont know how.

The only teoretical (nonparametric) contribution I found as a guiding
line is Das, Newey and Vella (RES 2003) but I dont know how to
implement it in my specific case. Anyome has a parametric solution to
the problem? how should I model the equations?

Thanks alot!

On Fri, Sep 11, 2009 at 3:39 PM, Austin Nichols <austinnichols@gmail.com> wrote:
> margherita Comola <margherita.comola@gmail.com> :
> You could:
> 1. Ignore endog of educ and treat selection into formal work vs. other
> categories as a probit, so use -heckman-
> 2. Ignore selection, find an excluded instrument for educ, e.g. some
> policy change that induces some people to have more educ than
> otherwise identical people, and use -ivregress-
> 3. Use -cmp- (from SSC) to model the various equations as a system.
>
> The second option is probably best IMHO, in the sense of giving
> consistent estimates under various error distributions, but it
> requires a very large dataset and good excluded instruments for
> reasonable inference.
>
> On Fri, Sep 11, 2009 at 8:01 AM, margherita Comola
> <margherita.comola@gmail.com> wrote:
>> Dear Statalisters,
>>
>> I need to estimate a selection model with the following features:
>>
>> -the selection equation is a multinomial logit (3 alternatives). As
>> usual, the outcome variable is available for one of the alternatives
>> only.
>> -one of the regressors is endogenous both to the selection AND to the
>> outcome equation.
>>
>> In particular, the setting is the following: I am estimating a wage
>> equation in a setting where wage is available for formal workers only
>> (not for informal or non-participants). The selection equation is
>> multinomial: non-participants, formal workers, informal workers.
>> Education (that can be coded as a dummy or as a continuous variable)
>> is endogenous to both equations.
>>
>> Any idea?
>
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-- 
Margherita Comola
Paris School of Economics
Email: comola@pse.ens.fr
http://www.pse.ens.fr/comola/index.html

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