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Re: st: ivtobit with lagged dummy variables as instruments


From   Charles Koss <hqtiger@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivtobit with lagged dummy variables as instruments
Date   Thu, 14 Apr 2011 08:59:18 -0500

you are welcome, if it is panel data, what estimation method are you
planning to use?

On Wed, Apr 13, 2011 at 8:04 AM, Lamla, Bettina
<Bettina.Lamla@rwi-essen.de> wrote:
> Hi charles,
>
> Thanks for the suggestion.
> However my data set is a panel that I pool over the survey years.
> I need the robust std errors (in order to control for clustering on the individual) . Two step does not offer this option.
>
>
>
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Charles Koss
> Gesendet: Mittwoch, 13. April 2011 15:00
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: ivtobit with lagged dummy variables as instruments
>
> try the twostep option, for example (from the stata manual) :
> clear
> webuse laborsup
> describe
> ivtobit fem_inc fem_educ kids (other_inc = male_educ), ll(12) twostep
> summ other_inc
> drop in 298 //delete inf. obs.
> summ other_inc
> scalar minv = r(min)
> display minv
> ivtobit fem_inc fem_educ kids (other_inc = male_educ), ll(.70566559) twostep
>
> PS I had problem entering the scalar minv in the ll option of ivtobit,
> so, i just copied.
>
> Charles
>
> --
> Charles Koss
> http://charlesonnet.blogspot.com
>
> On Wed, Apr 13, 2011 at 5:21 AM, Lamla, Bettina
> <Bettina.Lamla@rwi-essen.de> wrote:
>> 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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>
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> Rheinisch-Westfälisches Institut für Wirtschaftsforschung e.V. (RWI)
> Hohenzollernstr. 1-3
> D-45128 Essen
>
> Phone: +49-201-8149-0
> Fax: +49-201-8149-200
> Web: www.rwi-essen.de
>
> Executive Board/Vorstand: Prof. Dr. Christoph M. Schmidt, (Präsident),
> Prof. Dr. Thomas K. Bauer (Vizepräsident), Prof. Dr. Wim Kösters
> Registration-No./VR 1784 beim Amtsgericht Essen
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

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