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st: 2 stage with Tobit and Poisson (GMM)


From   Andrea Rispoli <andrea.rspl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2 stage with Tobit and Poisson (GMM)
Date   Thu, 1 Mar 2012 12:43:09 +0000

Dear Statalisters,
I am running a panel two stage model. In the first stage the dependent
variable is continuous and truncated therefore a tobit model would be
appropriate.
In the second stage the dependent variable is a count variable
therefore a poisson regression would be appropriate.

One possibility would be to use ivreg and assume linearity for both
stages. However Angrist 2001 suggests that when the first stage is non
linear and the second is a solution is to use the appropriate model in
the first stage (e.g. Probit, Tobit), obtain fitted values and them
use them as instruments in the ivreg.

Since in my case also the second stage is non linear, I was
considering the Tobit model in the first stage, obtain fitted values
and use them as instruments in a exponential panel regression with
endogenous regressors (using GMM) in the second stage. Would this be
correct or is that something I am missing?
Thank you in advance
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