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From |
Cameron McIntosh <cnm100@hotmail.com> |

To |
STATA LIST <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Endogeneity and Panel Data : treatreg, ivregress or .. ? Any suggestion would be really appreciated ! |

Date |
Mon, 14 Nov 2011 00:08:27 -0500 |

John, I strongly suggest that you take a look at the following (as for clustered observations and missing data, you haven't really described the dataset enough to be able to comment -- how many time points are there?): Greene, W.H., & Hensher, D.A. (2010). Modeling Ordered Choices: A Primer. Cambridge, UK: Cambridge University Press. Chesher, A., & Smolinski, K. (2012). IV models of ordered choice. Journal of Econometrics, 166(1), 33-48. Carrasco, R. (2001). Binary Choice With Binary Endogenous Regressors in Panel Data. Journal of Businessand Economic Statistics, 19(4), 385-394. Chesher, A., Rosen, A., & Smolinski, K. (February 11, 2011). An instrumental variable model of multiple discrete choice. cemmap working paper CWP06/11. The Institute for Fiscal Studies Department of Economics, UCL. http://www.ihs.ac.at/vienna/resources/Economics/Papers/20111117_Paper_Rosen.pdf Mullahy, J. (2001). [Estimation of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice]: Comment. Journal of Business & Economic Statistics, 19(1), 23-25. Altonji, J.G., & Matzkin, R.L. (2005). Cross Section And Panel Data Estimators For Nonseparable Models With Endogenous Regressors. Econometrica, 73(4), 1053-1101.http://down.cenet.org.cn/upfile/94/2005711152046101.pdf Dong, Y., & Lewbel, A. (April 2011). Simple Estimators for Binary Choice Models With Endogenous Regressors.http://fmwww.bc.edu/ec-p/wp604.pdf Lewbel, A. (March 2011). Binary Choice With Endogenous Or Mismeasured Regressors.http://www.indiana.edu/~caepr/visitors/2011/downloads/LewbelBinaryChoice.pdf Cam ---------------------------------------- > From: cariboupad@gmx.fr > Date: Sun, 13 Nov 2011 15:41:46 +0100 > Subject: st: Endogeneity and Panel Data : treatreg, ivregress or .. ? Any suggestion would be really appreciated ! > To: statalist@hsphsun2.harvard.edu > > Dear Stata List, > Dear Mark Schaffer (I guess ;-) ) > > I have a econometric question related to endogenous variables and > panel data, and I believe that it can be interesting for anyone who > uses longitudinal data. > > Here's the context : > > I have a panel dataset of individuals who, at any time t, could > endogenously chose the value of a variable E (for endogenous). E is > not ordered and could take few values (in my case, 6 possible > choices). > > I am particularly interested in the effect of one of these choices on > a fully continuous outcome variable Y. > > That is, at any time and for any individual I would like to estimate > > Yit=a+bXit+cZit+eit > > where for example, Z is a binary variable that is equals to 1 if > individual i chooses E="the value of interest" at time t, and zero > otherwise. variables in X are assumed to be exogenous. > I believe I have a good instrument for Z, along for other control > demographic variables, and therefore I guess I have basically two > choices in order to take into account the panel nature of my dataset > > 1) using ivregress2 with the option cluster(id) and correcting for the > endogenous part with (Z= instrument + age + location of birth). > However Z is a dummy variable... I know this should not be a problem > but... > 2) using treatreg with the option vce(bootstrap, cluster(id) > reps(400)) and modeling the choice of E=2 (that is Z=1) with treat(Z= > instrument + age + location of birth) > 3) I tried to use xtivreg 2 with fixed effects, but location of birth > is time invariant (and I believe very important in order to understand > Z) so it cannot be estimated. > > Is my approach correct ? Do you have eventually other ways to tacke > this multiple choice endogenous problem ? > > Moreover, in the context of panel data, do I always need to use > clustering on id in order to have correct standard errors ? > My dataset is large, but I have much more time variation than > clusters. About 200 000 individuals and 10 million observations for > the whole dataset. > The period where the instrument is available reduces the dataset > considerably : 1 million observations and about 20 000 individuals. > An important remark : the panel is NOT balanced. So individuals could > come in and out of the dataset during the 10 year period covered by my > dataset. Some have thus very few observations, and some have hundreds > of rows. > > > > Many thanks in advance for your suggestions, > > Best, > * > * 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/ * * 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/

**Follow-Ups**:**Re: st: Endogeneity and Panel Data : treatreg, ivregress or .. ? Any suggestion would be really appreciated !***From:*John Litfiba <cariboupad@gmx.fr>

**References**:**st: Endogeneity and Panel Data : treatreg, ivregress or .. ? Any suggestion would be really appreciated !***From:*John Litfiba <cariboupad@gmx.fr>

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