Deepankar,
I think that Kathleen wants to use tobit because this "endogenous right-hand
side variable that is zero for over half of the observations" let's say
censored, not because the variable is discrete. Also, I think that -heckman-
is not the solution (I mean using the command)... in that procedure there is
only one endogenous variable, in the problem we have 2. A two-stage here
involves do the tobit, makes the predictions, put into the linear equation
and estimate that. It seems easy to do it, the problem is to adjust the
standard errors.
Rodrigo.
----- Original Message -----
From: "Deepankar Basu" <[email protected]>
To: <[email protected]>
Sent: Tuesday, June 06, 2006 12:08 PM
Subject: Re: st: Re: Endogenous right hand side variable
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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