Friday, February 03, 2006

RE: st: RE: Re: Binary endogenous variable in a panel data set

Thank you! Gratefully.

Jyotsna (Jo) Puri Cell and Voicemail: 201-805-1690 pjyotsna@hotmail.com I am supporting the education of underprivileged kids. You can too: http://www.ashanet.org/nycnj/marathon/runnernet/publicmypage.php?runnerid=2005TA486

----Original Message Follows---- From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> Reply-To: statalist@hsphsun2.harvard.edu To: <statalist@hsphsun2.harvard.edu> Subject: st: RE: Re: Binary endogenous variable in a panel data set Date: Fri, 3 Feb 2006 13:10:22 -0000

Jo,

> -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > jyotsna puri > Sent: 03 February 2006 13:01 > To: statalist@hsphsun2.harvard.edu > Subject: st: Re: Binary endogenous variable in a panel data set > > Hi all, > > I have an unbalanced panel dataset. > My dependent variable of interest is continuous but there is > also an endogenous binary variable - which I must instrument for. > I have used xtivreg to estimate this model. However xtivreg > does not account for the binary nature of the endogenous > variable (my understanding is that it assumes the endogenous > variable to be continuous).

This isn't the case. It's the same as generic IV - you don't need to make this assumption for the standard properties of IV to carry through. If you are looking for increased efficiency, though, you could consider a variation on a procedure recommended by Wooldridge in his 2002 book, which is similar to what you propose below except that you use the generated variable as an _instrument_ for the endogenous regressor. That way, you don't have to bootstrap.

HTH.

--Mark

> > Can some one advise me on any utility/route to deal with this? > > One possibility is to do a 2 step routine: Estimate the > equation for the endogenous binary variable using xtprobit. > Take the predicted values, and use it in the second stage > equation and bootstrap the standard errors for the second stage. > > Has any one done this and can you advise me on the possible pitfalls? > > Best, > -Jo > > > > Jyotsna (Jo) Puri > pjyotsna@hotmail.com > I am supporting the education of underprivileged kids. You can too: > http://www.ashanet.org/nycnj/marathon/runnernet/publicmypage.p > hp?runnerid=2005TA486 > > > * > * 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/ > >

* * 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/

* * 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/


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