> I actually have a two-equation model. The equation for the endogenous
> variable should be estimated as a probit. The second-stage equation for
> the censored dependent variable of interest should be estimated as a
> Tobit. I'd rather not use Heckman, because I don't need to rely on
> functional form for identification. I have an IV. So I essentially want
> to do the equivalent of 2SLS, but 2SLS itself would give inconsistent
> estimators.
>
> Yes, I see that I could write a ml procedure, but I have never done this
> before and I wonder if anyone has already written a procedure to do
> something similar which I could use as an example?
The best I can think of is -treatreg-, so you would need to figure out how
to convert the regression step of it into a tobit model. (My
microeconometrics instructor, David Guilkey, said in his class on tobit
that he had never seen a trustable tobit model so far in his career...).
But it does involve a Heckman-type / inverse Mills' ratio stuff inside
that you don't seem to like a lot. (I personally don't care much about the
assumed normality; I do know that all models are imperfect, and as far as
this one works, I'd rather have an only approximately correct model
working reasonably well rather than developing a complex model that would
relax the normality assumptions to find out it does not converge, or that
I cannot interpret its outout. So I would just put the instruments into
the first probit. Your potential referees may be more strict on that.)
--- Stas Kolenikov
-- Ph.D. student in Statistics at UNC-Chapel Hill
- http://www.komkon.org/~tacik/ -- [email protected]
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