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st: Appropriate estimation method to use with panel data with lagged endogenous variables occurring in different time periods?


From   Tiffany Green <[email protected]>
To   [email protected]
Subject   st: Appropriate estimation method to use with panel data with lagged endogenous variables occurring in different time periods?
Date   Tue, 12 Jun 2007 11:42:09 -0700 (PDT)

I have a 3 period model which estimates the effect of
maternal behaviors (smoking and breastfeeding) on
child health (asthma). Childhood asthma at age three
is a function of smoking at (up to) age 3 and
breastfeeding up to age 1.  Low birthweight is also
treated as endogenous.   So, I have three endogenous
(and dichotomous) RHS variables:

asthma at age 3=f(smoking at (up to) age 3,
breastfeeding at age 1, low birth weight, various
socioeconomic characteristics).  

I was advised to use IV probit, but from what I
understand, because all of endogenous regressors are
binary and not continuous, this would not be
appropriate to use in this case.  I also gather that
mvprobit would apply more to SURE types of models.
 
The other issue is that I am unclear how to account
for the fact that my endogenous variables appear in
different time periods, and so using a simple ivreg
type of command would not seem to be appropriate.  For
example, breastfeeding at year 1 would be a function
of say, income at year 1, while smoking at year 3
would obviously be a function of say, income in year
3.  

I would appreciate any advice on what estimation
method  or methods would be more appropriate in this
case.


If the facts don't fit the theory, change the facts. 
-Albert Einstein


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