[Limdep Nlogit List] Panel Data model with endogenous binary and count variables?

[Michael Kennedy]

Hello World,

I got a linear panel data model that I can estimate by
random or fixed effects:

REGRESS	;Lhs=Y1
;Rhs=ONE, Y2, Y3, X1, X2, 

;Panel
;Pds = 5$

However, Y2 and Y3 are most likely endogenous, and
looking at the Limdep 8.0 manual on page E8-45, looks
like the best way to handle this is by 2SLS for the
FEM. (Digression: Is there a problem using 2SLS for
REM?  Also, the manual did not mention anything about
3SLS for FEM, so wondering if that is not possible). 

(1) REGRESS	;Lhs=Y2
;Rhs= all Xs (reduced form) 
;fixed
;keep =predictedY2
;Pds = 5$

(2) REGRESS	;Lhs=Y3
;Rhs= all Xs (reduced form) 
;fixed
;keep =predictedY3
;Pds = 5$

(3) REGRESS	;Lhs=Y1
;Rhs=ONE, Y2, Y3, X1, X2, 

;Inst = predictedY2, predictedY3
;Panel
;Pds = 5$

So that looks straightforward, however a complication
in my case is that Y2 is a binary variable and Y3 is a
count variable.  So in the above, I would like to use
PROBIT in (1) and POISSON in (2) instead of REGRESS
and not change (3), but I doubt that makes sense.  Any
suggestions on whether that makes sense, and if not,
the correct way to do it?

Thanks,

Michael




 
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