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st: Dynamic Tobit with endogenous regressors?

From   "Jon O'Brien" <[email protected]>
To   [email protected]
Subject   st: Dynamic Tobit with endogenous regressors?
Date   Fri, 04 Jan 2008 00:19:45 +0000

Are there any Stata programs (i.e., ado files) to perform a dynamic Tobit
model (with panel data, obviously) and endogenous regressors?

For those of you who want more info on my data, here it is: 
1. Dependent variable is essentially linear, but with a big cluster at zero.
The zeros are essentially unobserved on the dependent variable, but this is
due to external factors rather than self-selection (thus, Tobit should be
more appropriate than a Heckman, I believe)
2. It is panel data, where the lagged value of the dependent variable should
have a direct causal influence on the current value 
3. There are potentially endogenous regressors. However, I think I have a
good instrument for the key [potentially endogenous] regressor.

Thank you for any help you can offer,

Jon O'Brien
University College Dublin
Belfield, Dublin 4, Ireland

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