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st: instrumental variables with stage 2 NBM and panel data

From   Charlie Trevor <[email protected]>
To   [email protected]
Subject   st: instrumental variables with stage 2 NBM and panel data
Date   Mon, 15 Sep 2008 12:03:01 -0500

Hello.  I am trying to figure out how to conduct an instrumental variables analysis in Stata under the following conditions:

1.  I have panel data – roughly 6 years with 30 observations per year.

2.  stage 1 is a fixed effects model.  I have instruments and will be creating three instrumented variables to be stage 2 predictors (x1hat, x2hat, x3hat ), all of which are continuous.

3.  stage 2 is a cross-sectional time-series negative binomial model, as my DV is count data and overdispersed.  I would like to do both fixed and random effects approaches.

I have an alternative stage 2 DV that is continuous, so am able to use xtivreg, fe and xtivreg, re for those analyses.  As far as I have been able to discern, however, there is no instrumental variables command that is parallel to that and would allow me to conduct a fixed or random effects negative binomial model in stage 2.  Certainly, I could create the stage 1 predicted values and then manually insert them into the stage 2 xtnbreg, fe and xtnbreg, re.  This, however, will not give me appropriate standard errors, and my severe lack of programming acumen prevents me from writing the code to provide correct standard errors.  

So, I would greatly appreciate it if someone could tell me if I am missing something here.  If I am not, would someone be able to provide some Stata code that will allow me to get at the standard errors.  Would bootstrapping be a reasonable approach to getting my standard errors here?  Guan’s article (2003 Stata Journal; 3[1], 71-80) suggests bootstrapping with a manual approach in an example where the 2nd stage is a Tobit model. Might adapting that program be a reasonably straightforward fix, or is there a simpler/better way (also a little unsure how to ensure that I sample cross-sections rather than random observations, which I have read is preferable if bootstrapping with panel data).
Thank you very much.



Charlie Trevor
Associate Professor
Keller Fellow
Management and Human Resources Department
University of Wisconsin-Madison
975 University Ave.
Madison, WI 53706
phone: 608-262-7920  fax: 608-262-8773

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