Mark,
Thank you so much for recommending a possible alternative estimation method. We are in the process of trying it out.
Best regards
Egil
> ----------
> Fra: Mark Schaffer[SMTP:[email protected]]
> Svar til: [email protected]
> Sendt: 23. august 2004 17:37
> Til: [email protected]
> Emne: Re: st: treatreg
>
> Egil,
>
> Subject: st: treatreg
> Date sent: Thu, 19 Aug 2004 12:14:54 +0200
> From: "Kjerstad Egil (SNF)" <[email protected]>
> To: <[email protected]>
> Send reply to: [email protected]
>
> > Hi,
> >
> > I am a 7.0 user and seek to find a way to expand the scope for the
> > treatreg command. First challenge: The treatment effects model
> > estimates the effect of an endogeous binary treatment on another
> > endogenous, continuous variable, conditional on two sets of
> > independent variables. How can the model be altered to allow for,
> > say, three treatment categories?
>
> I don't think the code for a modified -treatreg- is out there, so you
> might want to consider the following alternative, discussed in
> Wooldridge's 2002 book in chapter 18.
>
> (a) Estimate the three "first-stage" probits by hand, i.e., with the
> treatment categories as dependent variables in each of the probits.
>
> (b) For each probit, obtained the predicted probability for the
> binary treatment. This gives you 3 sets of fitted values.
>
> (c) Estimate your treatment equation using instrumental variables,
> where the 3 sets of fitted values are instruments (NOT regressors!)
> for the three treatment variables.
>
> This procedure is more efficient than using simple IV.
>
> What's very convenient about this is that the standard errors
> generated by this IV procedure are correct - no need for messy
> corrections of the var-cov matrix.
>
> You'll probably want to have at least 3 different exclusion
> restrictions so that the equation is reasonably well identified.
>
> Hope this helps.
>
> --Mark
>
> > Second challenge: What if the
> > endogenous, continuous variable is a covariate in the expression for
> > another endogenous, continuous variable?
> >
> > Do such amendments to the treatreg command already exist 'out there'?
> > If so, are they available?
> >
> > Best regards
> >
> > Egil
> >
> > *
> > * 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/
>
> Prof. Mark E. Schaffer
> Director
> Centre for Economic Reform and Transformation
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS UK
> 44-131-451-3494 direct
> 44-131-451-3008 fax
> 44-131-451-3485 CERT administrator
> http://www.som.hw.ac.uk/cert
>
> *
> * 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:
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