Endogeneity and Stata's "eregress" Command | Estimation Methods | Stata Tutorials Topic 47
Stata Tutorials Topic 47: Endogeneity and Stata's "eregress" Command | Regression Analysis and Estimation Methods Using Stata
Hi, I am Bob. Today, let me show you how to use the Stata command "eregress" to solve the endogeneity problem caused by omitted variables and sample selection. Omitted variable bias and endogenous sample selection are common issues in causal effects analysis. Stata's extended linear regression command "eregress" gives us a solution to both problems.
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#Stata #eregress #endogeneity #Endogenous #exogenous #RegressionAnalysisandEstimationMethods #tutorial
The Stata commands in this video:
*OLS Method
regress lwage educ i.region i.race c.age##c.age
estimates store OLS
*Omitted Variable Bias and 2SLS Method
eregress lwage i.region i.race c.age##c.age, endogenous(educ=i.parent_educ i.region i.race c.age##c.age)
estimates store IV
*Sample Selection Bias and Heckmen's Method
eregress lwage educ i.region i.race c.age##c.age, select(workforce=num_children educ i.region i.race c.age##c.age)
estimates store Heckman
*Combination of 2SLS and Heckman Methods
eregress lwage i.region i.race c.age##c.age, endogenous(educ=i.parent_educ i.region i.race c.age##c.age) select(workforce=num_children educ i.region i.race c.age##c.age)
estimates store Comb
esttab OLS IV Heckman Comb, mtitles se star(* 0.1 * 0.05 ** 0.01) b(%7.3f)
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