[Limdep Nlogit List] Panel count data with binary endogenousregressor

[Ringquist, Evan]

Hi Corey:

Except in rare instances, the IV approach to selection bias is
unnecessary (and inadvisable) with panel data.  Traditional fixed
effects and difference-in-difference models have essentially the same
effect in panel data as the IV approach does with cross sectional data.
Useful references here are Heckman and Hotz (JASA 1989), the Heckman and
Robb chapter in Heckman and Singer, eds. (Cambridge University Press
1985), and Wooldridge (J of Econometrics 1995).  Wooldridge (2002) is a
nice introductory textbook presentation of addressing selectivity with
panel data, and his website has some useful working papers on the
subject.  My guess is that you'll end up estimating something like a DID
or DIDID Negbin model.  I don't know of any technical presentations of
these models, but I'm sure they are out there.  Good luck!

ER

Evan J. Ringquist, Professor
School of Public and Environmental Affairs
Indiana University
1315 E. 10th St.
Bloomington, IN 47405
812.855.0732
812.855.7802 (fax)
  

-----Original Message-----
From: limdep-bounces at limdep.itls.usyd.edu.au
[mailto:limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of Corey
Phelps
Sent: Tuesday, June 05, 2007 6:25 PM
To: limdep at limdep.itls.usyd.edu.au
Subject: [Limdep Nlogit List] Panel count data with binary
endogenousregressor

Greetings,

I have panel count data with a binary endogenous regressor (which
represents a treatment) and would like to estimate a treatment effects
model in which I can instrument for the binary treatment variable in a
reduced form first stage model. I know that Limdep is capable of
estimating a Poisson model with selectivity, but I don't think this is
available for panel data.
Moreover, my data is overdispersed and a (second stage) negative
binomial model would be more appropriate. I would appreciate feedback
from the list on relevant literature and possible approaches to estimate
such a model in Limdep. Thanks.

Corey


Corey Phelps, PhD
Asst. Professor, Management & Organization University of Washington
Business School Box 353200 Seattle, WA 98195
(206) 543-6579


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