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st: Ivregress - endogenous variable is truncated


From   Manuela Deidda <manuelad.deidda@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Ivregress - endogenous variable is truncated
Date   Wed, 6 Feb 2013 10:18:59 +0100

Dear statalisters,
I need to estimate an equation where one of the explanatory variable
is endogenous; therefore, it needs to be estimated with iv. However,
the endogenous variable is truncated and it contains many zero.

I need to know whether there is a method to correct "manually" for
endogeneity, since the equation containing the endogenous variable
needs to be further estimated with the heckman procedure. In practical
terms, I am looking for a method to correct for endogeneity "manually"
.  i.e. estimating the equation of the endogenous variable, predicting
the residuals and inserting the corrected residuals in the main
equation. My problem with this manual 2sls procedure is related to the
fact that my endogenous variable needs to be estimated as a tobit.

Thanks a lot for your help!


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