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st: 2STAGE ESTIMATION WITH TOBIT AND POISSON


From   Andrea Rispoli <andrea.rspl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2STAGE ESTIMATION WITH TOBIT AND POISSON
Date   Sat, 14 Nov 2009 19:15:16 +0100

Dear Statalisters,
I would like to perform a two stage estimation where I use xttobit in
the first equation to predict the values of the suspected endogenous
variable and use them  in the second equation, an xtpoisson. Reading
Woolridge and statalistes threads, I understood that the standard
errors of the second equation can be biased. If my second equation was
an ols I could have used the Woolridge 2002 suggestion of solving the
problem with ivreg (z= yhat). However, since my second equation is an
xtpoisson, what would you reccommend? Thank you very much in advance.
AR
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