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st: 2SLS with first stage duration model


From   Karen Ruckman <ruckman@sfu.ca>
To   "statalist " <statalist@hsphsun2.harvard.edu>
Subject   st: 2SLS with first stage duration model
Date   Fri, 5 Apr 2013 11:26:42 -0700 (PDT)

hello statalisters,

i am trying to run a 2 stage endogenous model where the first stage is a duration model with a log-log distribution and the main stage is OLS.  it appears that neither -gllamm- or the program aML can support a log-log (or even log-normal) distribution.  i would like to now explore trying to create a 2SLS regression on my own.  

if my endogenous system looks like this:
SP = bX + cZ + error1  (the duration model with log-log distribution where Z are the instruments for SP)
AG = dSP + eX + error2 (the OLS model)

would the following be the proper method to account for the endogeneity?
1. regress SP on X and Z using the appropriate survival analysis, get the estimated SP (SP_hat)
2. regress AG on SP_hat and X using OLS. 

karen.
   
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