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Re: st: Probit analysis with panel data and endogeneous explicative variables


From   Giovanni Bruno <giovanni.bruno@uni-bocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Probit analysis with panel data and endogeneous explicative variables
Date   Sat, 4 Mar 2006 11:25:39 +0100

Ciao Elena

I'm not an expert in this field and perhaps others in the
list might want to contribute. 

Your problem seems not easy, combining two difficult 
estimation issues in nonlinear models:

1) individuals effects   
2) endogenous right-hand variables

Perhaps, before endeavouring estimation you might want to
test endogeneity, which is easier. A good reference for
estimation and testing in your case is Chapter 15 (especially
sections 15.7.2 and 15.8.2) of Wooldridge (2002).

Wooldridge J.M. (2002) Econometric Analysis of Cross
Section and Panel Data. The MIT Press.

Giovanni  


Elena Giarda <elena.giarda@prometeia.it>:

> Dear Stata-listers,
> 
> I have a very large data-set of individual earnings, with a panel data 
> structure, covering the period 1985-2004. I would like to estimate the 
> probabilities of transition from the status of temporary to long-term 
> employee. So I would regress the variable y (y=1 if the individual changes 
> status, y=0 if the individual does not change status) over his/her level of 
> earnings, age and other demographic characteristics. In this set-up, though,
> 
> earnings are an endogenous variable.
> 
> I know of a routine (PROBITIV) which estimates probit models with endogenous
> 
> explicative variables, but not in a panel-data framework (am I right?). With
> 
> the command XTPROBIT I can estimate probit models within panel data. Is 
> there a way of combining probit estimation with panel data and endogenous 
> variables?
> 
> I wonder whether I could run a 2-stage regression, such as:
> 
> 1) XTREG (FE) y instruments, to get y(hat)
> 2) XTPROBIT y(hat) exogenous variables
> 
> Would this approach be correct? If not, do you have any suggestions? I use 
> Stata 8.
> 
> Many thanks!
> 
> Cheers,
> Elena Giarda 
> 
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-- 
Giovanni S.F. Bruno
http://ideas.repec.org/e/pbr136.html
Istituto di Economia Politica, UniversitÓ Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
*
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