Two-stage residual inclusion estimation: Addressing endogeneity in health econometric modeling
Two-stage residual inclusion estimation: Addressing endogeneity in health econometric modeling
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DOI：
10.1016/j.jhealeco.2007.09.009
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发表时间：
2008-05-01
影响因子：
3.5
通讯作者：
Rathouz, Paul J.
中科院分区：
文献类型：
--
作者：
Terza, Joseph V.;Basu, Anirban;Rathouz, Paul J.
本文重点介绍了在卫生经济学和卫生服务研究的实证研究中被广泛使用的两种内生性估计方法--两阶段预测因子替代法(2SPS)和两阶段残差包含法(2SRI)。2SPS是流行的线性两阶段最小二乘估计器的机械推广(对非线性模型)。2SRI估计是相似的，只是在第二阶段回归中，内生变量不被第一阶段预测因素取代。取而代之的是，第一阶段残差作为额外的回归变量被包括在内。在一般的参数框架中，我们证明了2SRI是一致的，而2SPS是不一致的。一项模拟研究的结果和一个说明性的例子也建议反对2SPS而支持2SRI。我们的发现是重要的，因为在最近的文献中有许多突出的例子应用不一致的2SPS。本研究对今后面临内生性问题的卫生经济学研究者具有一定的指导意义。(C)2007 Elsevier B.V.保留所有权利。
The paper focuses on two estimation methods that have been widely used to address endogeneity in empirical research in health economics and health services research-two-stage predictor substitution (2SPS) and two-stage residual inclusion (2SRI). 2SPS is the rote extension (to nonlinear models) of the popular linear two-stage least squares estimator. The 2SRI estimator is similar except that in the second-stage regression, the endogenous variables are not replaced by first-stage predictors. Instead, first-stage residuals are included as additional regressors. In a generic parametric framework, we show that 2SRI is consistent and 2SPS is not. Results from a simulation study and an illustrative example also recommend against 2SPS and favor 2SRI. Our findings are important given that there are many prominent examples of the application of inconsistent 2SPS in the recent literature. This study can be used as a guide by future researchers in health economics who are confronted with endogeneity in their empirical work. (C) 2007 Elsevier B.V. All rights reserved.