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From | Filipe Silva <filipeourico@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Selection with an endogenous ordinal variable |
Date | Wed, 9 Feb 2011 04:31:57 +0000 |
Slides were very helpful Thank you very much for the remark and suggestion 2011/2/9 Austin Nichols <austinnichols@gmail.com>: > Filipe Silva <filipeourico@googlemail.com>: > I don't see any theory motivating a selection model, and correlated > residuals in a misspecified -heckman- are not evidence in favor of a > selection model. > Firms with mean R+D conditional on X vars close to zero will often > have realized R+D of zero or so small an amount that it will be > measured as zero in your data. > Sounds more like -glm- with a log link, or better, given an instrument > for FC, a -gmm- model: > http://repec.org/bost10/nichols_boston2010.pdf > > On Tue, Feb 8, 2011 at 9:43 PM, Filipe Silva > <filipeourico@googlemail.com> wrote: >> Thank you for the suggestion on the -cmp- >> >> I apologise for not being as clear as I should have been >> >> I intend to measure the impact of firms' financial constraints (FC) >> upon R&D investment: >> y: R&D investent, whith 74% of zeroes, €{0}U]0, +00[ >> main x: FC, which is ordinal, €{0;1;2;3} >> >> Since there are so many zeroes, I hypothesized that there is first the >> decision to invest or not (RD) followed by the decision on the amounts >> invested if RD==1. Accordingly, if these decisions are assumed to be >> independent (conditional on observable vars.), I'd estimate a 2part >> "hurdle" with no need to jointly specify errors. >> However, I tested a -heckman- not accounting for endogeneity and it >> appears that there are unobservables affecting both errors. >> As a result I thought of a selection model, but please correct me if >> wrong (I have just recently started to deal with such kind of data). >> >> Additionally, there are reasons to believe that FC is endogenous in >> the RD_I decision, which further complicates. >> >> Thank you very much, >> Filipe >> >> >> >> 2011/2/8 Austin Nichols <austinnichols@gmail.com>: >>> Filipe Silva <filipeourico@googlemail.com>: >>> I don't understand your problem statement--can you clarify what the outcome and >>> endogenous ordinal var are, and what form of selection is hypothesized? >>> You may also want to look at -cmp- on SSC for MLE options. >>> >>> On Tue, Feb 8, 2011 at 5:57 AM, Filipe Silva >>> <filipeourico@googlemail.com> wrote: >>>> Dear all, >>>> >>>> I am currently trying to estimate a model of selection, where the main >>>> explanatory variable in this model is endogenous (and ordinal!). All >>>> of them observed. >>>> This should be easily done with -heckman-, if not for the endogenous regressor. >>>> >>>> I wonder if there is any package that can handle (MLE) estimation of such model? >>>> >>>> Alternatively I have considered a two-step procedure (probit, obtain >>>> mills, use in ivreg2 to account for endogeneity- as far as I've >>>> understood this is the procedure described in Wooldridge's textbook, >>>> 2002 pp. 567-570 as an extension to "heckit", even though I'm not >>>> totally sure it applies to an ordinal endogenous var.) but the the >>>> Variance correction in the second step is rather hard to compute. I >>>> have considered using the bootstrap for such correction. >>>> >>>> Could anyone please advise me if this reasoning is correct or if there >>>> is an alternative way to do it? > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/