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st: two-stages estimator???
Dear,
I am going to estimate the following equation:
y1=a0 + a1*x1 + a2*x2 + a3*x3 + a4*x4 + u1.
However, there are reasons (from the theory) that x4 depends on x1-x3 or
at least on a subset of them.
Which is to say that (for example):
x4 = b0 + b1*x1 + b2*x2 + b3*z1 + b4*z2 + u2
where z1 and z2 are exogenous for y1 and x4 and x1 and x2 are exogenous
for x4.
In addition there are also reasons to believe that the impact of x4 on
y1 is more than the impact of x1 and x2.
I am interested in a4, and of course in a1-a3.
y1 and x4 are counts (discrete).
I am thinking about two-stages, but I am not sure that this is the
appropriate approach.
Any suggestions are greatly appreciated.
warm regards
Viktor
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