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st: ivtobit with lagged dummy variables as instruments


From   "Lamla, Bettina" <Bettina.Lamla@rwi-essen.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: ivtobit with lagged dummy variables as instruments
Date   Wed, 13 Apr 2011 12:21:29 +0200

Hi everyone!

I try to run ivtobit and get the following error message “could not find initial values”.
This happens the moment I include lagged interaction variables as instruments. ivtobit works just fine for me  with lagged values as instruments as long as they are not interacted dummies.
Any suggestions?


The code is

foreach x of varlist agecat_dummy1-agecat_dummy4{
gen interW_`x'=log_wealth*`x'

}


foreach x of varlist log_income log_wealth interW_agecat_dummy1-interW_agecat_dummy4{
gen l`x'=L1.`x'
}



/*ivtobit with lagged values as instruments*/

ivtobit saving_rate $sociodemo (log_income log_wealth interW_agecat_dummy1-interW_agecat_dummy4 =llog_income llog_wealth linterW_agecat_dummy1 -linterW_agecat_dummy4), ll vce(cluster respid) first

I use Stata 11.


Thanks a lot!

Bettina


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