AW: st: ivtobit with lagged dummy variables as instruments

["Lamla, Bettina" <Bettina.Lamla@rwi-essen.de>]

Hi charles,

Thanks for the suggestion.
However my data set is a panel that I pool over the survey years.
I need the robust std errors (in order to control for clustering on the individual) . Two step does not offer this option.




-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Charles Koss
Gesendet: Mittwoch, 13. April 2011 15:00
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: ivtobit with lagged dummy variables as instruments

try the twostep option, for example (from the stata manual) :
clear
webuse laborsup
describe
ivtobit fem_inc fem_educ kids (other_inc = male_educ), ll(12) twostep
summ other_inc
drop in 298 //delete inf. obs.
summ other_inc
scalar minv = r(min)
display minv
ivtobit fem_inc fem_educ kids (other_inc = male_educ), ll(.70566559) twostep

PS I had problem entering the scalar minv in the ll option of ivtobit,
so, i just copied.

Charles

--
Charles Koss
http://charlesonnet.blogspot.com

On Wed, Apr 13, 2011 at 5:21 AM, Lamla, Bettina
<Bettina.Lamla@rwi-essen.de> wrote:
> Hi everyone!
>
> I try to run ivtobit and get the following error message "could not find initial values".
> This happens the moment I include lagged interaction variables as instruments. ivtobit works just fine for me  with lagged values as instruments as long as they are not interacted dummies.
> Any suggestions?
>
>
> The code is
>
> foreach x of varlist agecat_dummy1-agecat_dummy4{
> gen interW_`x'=log_wealth*`x'
>
> }
>
>
> foreach x of varlist log_income log_wealth interW_agecat_dummy1-interW_agecat_dummy4{
> gen l`x'=L1.`x'
> }
>
>
>
> /*ivtobit with lagged values as instruments*/
>
> ivtobit saving_rate $sociodemo (log_income log_wealth interW_agecat_dummy1-interW_agecat_dummy4 =llog_income llog_wealth linterW_agecat_dummy1 -linterW_agecat_dummy4), ll vce(cluster respid) first
>
> I use Stata 11.
>
>
> Thanks a lot!
>
> Bettina
>
>
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Rheinisch-Westfälisches Institut für Wirtschaftsforschung e.V. (RWI)
Hohenzollernstr. 1-3
D-45128 Essen

Phone: +49-201-8149-0
Fax: +49-201-8149-200
Web: www.rwi-essen.de

Executive Board/Vorstand: Prof. Dr. Christoph M. Schmidt, (Präsident),
Prof. Dr. Thomas K. Bauer (Vizepräsident), Prof. Dr. Wim Kösters
Registration-No./VR 1784 beim Amtsgericht Essen

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/