Saturday, March 04, 2006

Re: st: Probit analysis with panel data and endogeneous explicative variables

Ciao Elena

I'm not an expert in this field and perhaps others in the list might want to contribute.

Your problem seems not easy, combining two difficult estimation issues in nonlinear models:

1) individuals effects 2) endogenous right-hand variables

Perhaps, before endeavouring estimation you might want to test endogeneity, which is easier. A good reference for estimation and testing in your case is Chapter 15 (especially sections 15.7.2 and 15.8.2) of Wooldridge (2002).

Wooldridge J.M. (2002) Econometric Analysis of Cross Section and Panel Data. The MIT Press.

Giovanni

Elena Giarda <elena.giarda@prometeia.it>:

> Dear Stata-listers, > > I have a very large data-set of individual earnings, with a panel data > structure, covering the period 1985-2004. I would like to estimate the > probabilities of transition from the status of temporary to long-term > employee. So I would regress the variable y (y=1 if the individual changes > status, y=0 if the individual does not change status) over his/her level of > earnings, age and other demographic characteristics. In this set-up, though, > > earnings are an endogenous variable. > > I know of a routine (PROBITIV) which estimates probit models with endogenous > > explicative variables, but not in a panel-data framework (am I right?). With > > the command XTPROBIT I can estimate probit models within panel data. Is > there a way of combining probit estimation with panel data and endogenous > variables? > > I wonder whether I could run a 2-stage regression, such as: > > 1) XTREG (FE) y instruments, to get y(hat) > 2) XTPROBIT y(hat) exogenous variables > > Would this approach be correct? If not, do you have any suggestions? I use > Stata 8. > > Many thanks! > > Cheers, > Elena Giarda > > * > * 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/ >

-- Giovanni S.F. Bruno http://ideas.repec.org/e/pbr136.html Istituto di Economia Politica, Università Bocconi Via U. Gobbi, 5, 20136 Milano Italy tel. + 02 5836 5411 fax. + 02 5836 5438 * * 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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