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


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: panel probit-tobit two stage model?
Date   Mon, 11 Jun 2012 12:43:25 -0400

Conan Li <conanli12@gmail.com> :
see also
http://www.stata.com/meeting/boston10/boston10_nichols.pdf
http://repec.org/usug2011/UK11_palmer_presentation.pdf (p 8, or 12 of 34)

Do you have excluded instruments?

On Mon, Jun 11, 2012 at 2:57 AM, Tirthankar Chakravarty
<tirthankar.chakravarty@gmail.com> wrote:
> 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!
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