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Endogenous treatment effects for count data models with endogenous participation or sample selection

  • Alfonso Miranda

    (Institute of Education, University of London)

  • Massimiliano Bratti

We propose an estimator for models in which an endogenous dichotomous treatment affects a count outcome in the presence of either sample selection or endogenous participation using maximum simulated likelihood. We allow for the treatment to have an effect on both the participation or the sample selection rule and on the main outcome. Applications of this model are frequent in-but not limited to-health economics. We show an application of the model using data from Kenkel (Kenkel and Terza, 2001, Journal of Applied Econometrics 16: 165-184), who investigated the effect of physician advice on the amount of alcohol consumption. Our estimates suggest that in these data, a) neglecting treatment endogeneity leads to a wrongly signed effect of physician advice on drinking intensity, b) accounting for treatment endogeneity but neglecting endogenous participation leads to an upwardly biased estimate of the treatment effect, and c) advice affects only the drinking-intensive margin but not drinking prevalence.

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Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2011 with number 10.

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Date of creation: 26 Sep 2011
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Handle: RePEc:boc:usug11:10
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  1. Joseph V. Terza & Donald S. Kenkel & Tsui-Fang Lin & Shinichi Sakata, 2008. "Care-giver advice as a preventive measure for drinking during pregnancy: zeros, categorical outcome responses, and endogeneity," Health Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 41-54.
  2. Windmeijer, F A G & Silva, J M C Santos, 1997. "Endogeneity in Count Data Models: An Application to Demand for Health Care," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(3), pages 281-94, May-June.
  3. Andreas Million & Regina T. Riphahn & Achim Wambach, 2003. "Incentive effects in the demand for health care: a bivariate panel count data estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 387-405.
  4. William Greene, 2009. "Models for count data with endogenous participation," Empirical Economics, Springer, vol. 36(1), pages 133-173, February.
  5. Massimiliano Bratti & Alfonso Miranda, 2011. "Endogenous treatment effects for count data models with endogenous participation or sample selection," Mexican Stata Users' Group Meetings 2011 05, Stata Users Group.
  6. Donald S. Kenkel & Joseph V. Terza, 2001. "The effect of physician advice on alcohol consumption: count regression with an endogenous treatment effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 165-184.
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