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RE: st: Estimate endogenous fractional response variable


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Estimate endogenous fractional response variable
Date   Wed, 7 Dec 2011 17:50:52 -0500

Andreas,
You should have a look at:

Wooldridge, J.M. (2011). Fractional Response Models with Endogenous Explanatory Variables and Heterogeneity.http://www.stata.com/meeting/chicago11/materials/chi11_wooldridge.pdf

Nam, S. (December 6, 2011). Multiple Fractional Response Variables with Continuous Endogenous Explanatory Variables.https://www.msu.edu/~namsu/Nam_jmp.pdf

Nguyen, H.B. (2010). Estimating a Fractional Response Model with a count endogenous regressor and an application to female labor supply. In W. Greene & R.C. Hill (Eds.), Maximum Simulated Likelihood Methods and Applications (Advances in Econometrics, Volume 26, pp. 253-298). Emerald Group Publishing Limited. 
Nguyen, H.B., & Nguyen, M.C. (October 2, 2010). FRCOUNT: Stata module to estimate fractional response model under the presence of count endogeneity and unobservable heterogeneity.http://ideas.repec.org/c/boc/bocode/s457183.html

Cam
----------------------------------------
> Subject: st: Estimate endogenous fractional response variable
> From: andreas.zweifel@uzh.ch
> To: statalist@hsphsun2.harvard.edu
> Date: Wed, 7 Dec 2011 21:38:00 +0100
>
> Dear All
>
> I would like to estimate a 2SLS model where the endogenous variable is a fractional response variable with values between 0 and 1.
> However, the ivreg command only allows for simple linear regressions in both the first stage and the reduced form. Is it possible to conduct the IV estimation manually by transforming the dependent variable into a log-odds ratio as proposed by Papke and Wooldridge (1996)? So instead of
>
> ivreg r lmval capint (drank = ffloat age)
>
> I would apply the following two-step procedure:
>
> regress drank_transf ffloat age lmval capint // using drank_transf = log(drank/(1-drank))
> predict drank_fitted, replace
> regress r drank_fitted lmval capint
>
> Now I am not sure if this manual approach consistently replaces the ivreg procedure in the usual linear setting. If so, I hope it produces unbiased estimates for the fractional response variable in this special case as well. But how can I specify a test for exogeneity of the excluded instruments ffloat and age without making use of the standardized ivreg procedure?
>
> Any help will be greatly appreciated.
>
> Best regards,
> Andreas
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