Henry,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 02 May 2006 05:12
> To: [email protected]
> Subject: st: correct SEs with 2SLS and count models
>
> Hi @ll,
>
> I have an endogeneity problem (continuous variable X1) in a
> regression model with count outcomes (50% zeros); ideally, I
> would like to use NBREG or ZINB in stage 2. I could simply
> use IVREG to estimate both equations simultaneously, but that
> doesn't work given my DV. Alternatively, I could do a
> first-stage regression and then add the predicted values
> X1_hat in my stage 2. However, doing this results in
> incorrect SEs in stage 2 (they are conditional on the b_hat
> from stage 1). So here are my questions:
>
> 1. Is there a stata command or .ado out there that does ML
> estimation of instrumental variables models with count
> outcomes (similar to IVREG for continuous DVs)?
-qvf- will fit generalized linear models and supports IV as well as
Poisson, negative binomial, etc. -findit qvf- will take you there.
Cheers,
Mark
> or
>
> 2. Is there a convenient way to compute the correct standard
> errors in a traditional 2SLS estimation? I am thinking of
> bootstrapping of both equations to get the empirical
> distribution of SEs, but I don't know how to implement that
> in STATA :(.
>
> Thanks so much!
>
> Henry
>
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>
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