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From |
"Austin Nichols" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Endogenous right hand side variable |

Date |
Fri, 18 Jan 2008 11:08:50 -0500 |

Maarten-- I don't see the source of endogeneity--but I suppose y3 and e1 are correlated. I will reiterate the concern I had with Kathleen's approach. Is the -tobit- the right approach? i.e. is it reasonable to assume that e2 is normally distributed and y2 is set to zero when negative to give y3? If y3 is nonnegative, that does not mean that a -tobit- is the right approach; often a -poisson- gives better results. Try lpoly y3 x2 for a sense of the "right" functional form. But in general, running -ivreg- or -ivreg2- or -ivregress- using a generated regressor produces consistent estimates, so you can do qui poisson y3 x1 x2 if y1<. predict y3hat if e(sample) ivreg2 y1 x1 (y3=y3hat) for example, and compare to ivreg2 y1 x1 (y3=x2) and qui tobit y3 x1 x2 if y1<. predict xbhat if e(sample) g vhat=y3-xbhat ivreg2 y1 x1 (y3=x2 vhat) for example. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Endogenous right hand side variable***From:*Maarten A Allers <[email protected]>

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