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Re: st: panel probit-tobit two stage model?


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: panel probit-tobit two stage model?
Date   Sun, 10 Jun 2012 23:57:58 -0700

Conan,

A conditional likelihood RE estimator for the type of model you have
(see Section 3) is proposed in Vella and Verbeek (Journal of
Econometrics, Volume 90, Issue 2, June 1999):
http://dx.doi.org/10.1016/S0304-4076(98)00043-8

A bias-corrected FE estimator for your model (see Example 2) has been
proposed in Fernandez-Val and Vella (Journal of Econometrics, Volume
163, Issue 2, August 2011):
http://dx.doi.org/10.1016/j.jeconom.2011.03.002

Note that the second estimator works with large T, so it might not be
suitable for your case. To my knowledge these are not available as
Stata packages, and you might need to code these up yourself.

T

On Sun, Jun 10, 2012 at 9:52 PM, Conan Li <conanli12@gmail.com> wrote:
> Hi Statalist,
>
> I am developing a model to estimate a particular state policy on state
> wind installation over 10 years of period. The tentative model for the
> wind installation is a tobit as: y1(i,t)=a+by2(i,t)+cx(i,t)+u, where
> y1 is the wind installation measured in MW, y2 is a dummy indicating
> the existence of the policy and x is a group of control variables. The
> policy variable is believed as endogenous because its adoption depends
> on some other variables. In this framework, how can I develop a model
> that integrates a first-stage probit to estimate the y2, and a
> second-stage tobit to estimate the y1?
>
> Here are some of my thoughts for the model:
> 1. ivtobit? (seemed not applicable if y2 is not continuous)
> 2. xtprobit->xttobit (how do I get there?)
>
> Thanks for your help!
>
>
> --
> Qinghua Li (Conan)
> State University of New York-College of Environmental Science and Forestry
> MS Candidate in Environmental Studies
> qli16@syr.edu
> *
> *   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/



-- 
Tirthankar Chakravarty
tchakravarty@ucsd.edu
tirthankar.chakravarty@gmail.com

*
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