I think Mullahy published a GMM estimator for this specific case, but
if you are willing to treat the endogenous dummy as continuous, you
can
ssc inst ivpois
probit x otherx* z*
predict phat
ivpois y otherx*, endog(x) exog(phat)
until you find a better estimator.
On Feb 20, 2008 11:21 AM, <[email protected]> wrote:
> dear all,
> I would like to estimate a poisson model which includes an endogenous
> dummy variable. To be more precise, this dummy captures a "treatment
> effect", hence I would like to model the selection process that
> underlies it by a probit model, and use the fitted probabilities as
> instruments for the dummy.
> Does anyone of you know a Stata command (either built in or not) that
> allows to estimate such a model?
> thank you very much for any help
> Maria
>
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