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Re: st: Murphy-Topel


From   Charles Koss <hqtiger@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Murphy-Topel
Date   Thu, 24 Dec 2009 16:56:59 -0600

I do not see how M kicks into the IV tobit? can you further explain


-- 
Charles Koss
http://charlesonnet.blogspot.com/



On Thu, Dec 24, 2009 at 11:28 AM, Evans Jadotte <evans.jadotte@uab.es> wrote:
> Dear listers,
>
> I am estimating a model which involves three steps (or actually 2) and need
> to correct for the standard errors. I am thinking of the Murphy-Topel (M-T)
>  correction but would like to know whether it makes sense and how to go
> about it in Stata:
>
> Step 1) I estimate a count model (negative binomial)
> M = aZ + e
>
> The prediction of M is used as an instrument for R, a reduced form equation.
>
> In steps 2 and 3) , I estimate an IV-Tobit
>
> L = bR + gX + u (structural equation)
> R = dY + e (reduced form equation)
>
> Since the prediction of M is my instrument for R, there is a downward bias
> in the standard errors of the structural equation that a naïve variance
> would not account for. Can an M-T correction of the standard errors produced
> in the structural equation solve this problem and if yes how could I go
> about it in Stata? Your suggestions are highly appreciated.
>
> Happy holidays!
>
> Evans
>
>

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