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Re: st: 2STAGE ESTIMATION WITH TOBIT AND POISSON


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 2STAGE ESTIMATION WITH TOBIT AND POISSON
Date   Sat, 14 Nov 2009 21:03:22 -0500

Andrea Rispoli <andrea.rspl@gmail.com>:
ssc d ivpois
and see -help gmm- in Stata 11.
Also note that -xtpoisson- is equivalent to -poisson- with dummies.
but see also
http://pazoulay.scripts.mit.edu/Software.html

On Sat, Nov 14, 2009 at 1:15 PM, Andrea Rispoli <andrea.rspl@gmail.com> wrote:
> 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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