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R: st: intreg with control for sample selection and endogeneity bias


From   "Francesco Pastore" <francesco.pastore@unina2.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   R: st: intreg with control for sample selection and endogeneity bias
Date   Tue, 30 Oct 2012 00:14:08 +0100

Hi, Justina,
any more details about bootstrapping and the rest? How would you suggest doing it practically.
Francesco

-----Messaggio originale-----
Da: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di Justina Fischer
Inviato: 30 October 2012 00:09
A: statalist@hsphsun2.harvard.edu
Oggetto: Re: st: intreg with control for sample selection and endogeneity bias

Hi Francesco


when pursuing Thierry's suggesion do not forget to get the standard errors of the intreg regression right; I think bootstrapping is the easiest.

In general, make sure that the statistical assumptions of both stages are met since they are important for identification and consistency.

Justina

-------- Original-Nachricht --------
> Datum: Mon, 29 Oct 2012 23:12:45 +0100
> Von: urbain thierry YOGO <yogout@gmail.com>
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: intreg with control for sample selection and 
> endogeneity bias

> hi
> i think you can deal with the sample selection as usual : you estimate 
> an equation of labor market participation, you recover the predicted 
> value p and you  compute the inverse Mills ratio as follow:
> gen pdfp1=normalden(p1)
> gen cdfp1=normprob(p1)
> gen IMR=pdfp1/cdfp1
> finally, you insert IMR in the wage equation.
> 
> 2012/10/29, Francesco Pastore <francesco.pastore@unina2.it>:
> > Hi, All,
> > I would like to ask to the statalist the following question:
> >
> > I am estimating a wage equation to see the impact of overeducation 
> > on earnings of a sample of graduates observed 5 years after getting 
> > their degree. The dependent variable is defined as an interval data: 
> > people
> are
> > asked to say to which class of earnings does their income belong to,
> rather
> > than a precise value. In this case, I should use the intreg command. 
> > One problem is that these types of cross-section estimates are 
> > plagued by sample selection and endogeneity bias. Does anybody know 
> > how to deal with it in the contest of interval regressions? Is there 
> > any routine available in
> Stata?
> >
> > Best regards
> > Francesco
> >
> >
> >
> > *
> > *   For searches and help try:
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> >
> 
> 
> --
> *Urbain Thierry YOGO
> Ph.D candidate in Economics*
> *
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