Kathleen,
Some quick thoughts on your questions.
1. Why do you want the endogenous variable to be estimated with a tobit
regression? The variable in question does not seem to be a discrete
random variable. If it has a mixture distribution, you might want to do
a joint likelihood estimation as Rodrigo suggests.
2. If you want a two-stage procedure with a tobit in the first stage and
an OLS in the second, you could look at Heckman-type selection models.
Deepankar
On Tue, 2006-06-06 at 11:44 -0400, Rodrigo A. Alfaro wrote:
> Dear Kathleen,
>
> I don't know if there is procedure in Stata for this model. The model sounds
> interesting, maybe there is some code in Gauss, Matlab or R.
>
> An alternative solution if to estimate the entire problem in a joint
> framework. You could write down the likelihood for this problem and solve it
> using -ml- procedures in Stata. The book of Gould "MLE with Stata" could
> help you in this matter.
>
> Rodrigo.
>
> ----- Original Message -----
> From: "McCullough, Kathleen" <[email protected]>
> To: <[email protected]>
> Sent: Tuesday, June 06, 2006 9:20 AM
> Subject: st: Endogenous right hand side variable
>
>
> I seem to be having some trouble posting today, so I am going to send this
> message again. I am sorry if it is a duplicate.
>
> I am estimating a model with a endogenous right-hand side variable that is
> zero for over half of the observations. Otherwise it is a continuous
> variable. The dependent variable is continuous. Is there a specific
> procedure to help control for this situation? I was concerned that using
> IVREG2 might not be effective as you cannot specify that the endogenous
> variable should be estimated with a tobit model. It does not appear that
> there is a canned procedure with a first stage tobit and second stage OLS
> model.
>
> I appreciate any suggestions that you might have.
>
> Regards,
> Kathleen
>
>
> _______________________________________________________________
>
> Kathleen A. McCullough, PhD
> Assistant Professor
> Florida State University
> Department of Risk Management/Insurance, Real Estate, & Business Law
> 150 RBB
> Tallahassee, FL 32306-1110
>
> Phone: 850-644-8358
> Fax: 850-644-4077
>
>
> _______________________________________________________________
>
>
>
>
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