Why not use Tobit in the first stage, OLS in the 2nd stage, and bootstrap
the standard errors? Shouldn't be too hard to do that in Stata.
David Jaeger
______________________________________________________
David A. Jaeger, Assoc. Prof. of Econ. & Public Policy
College of William and Mary, USA
---- Original message ----
>Date: Tue, 6 Jun 2006 11:44:22 -0400
>From: "Rodrigo A. Alfaro" <[email protected]>
>Subject: st: Re: Endogenous right hand side variable
>To: <[email protected]>
>
>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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