Terza Joseph V, Basu Anirban, Rathouz Paul J
Department of Epidemiology and Health Policy Research and Department of Economics, University of Florida, 1329 SW, 16th Street, Room 5130, Box 100147,Gainesville, FL 32610-0147, United States.
J Health Econ. 2008 May;27(3):531-43. doi: 10.1016/j.jhealeco.2007.09.009. Epub 2007 Dec 4.
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.
本文聚焦于两种在健康经济学和卫生服务研究的实证研究中被广泛用于解决内生性问题的估计方法——两阶段预测变量替换法（2SPS）和两阶段残差纳入法（2SRI）。2SPS是流行的线性两阶段最小二乘估计量（向非线性模型）的机械扩展。2SRI估计量与之类似，不同之处在于在第二阶段回归中，内生变量不是由第一阶段预测变量替代，而是将第一阶段残差作为额外的回归变量纳入。在一个一般的参数框架中，我们表明2SRI是一致的，而2SPS不是。模拟研究和一个示例的结果也不支持2SPS而支持2SRI。鉴于近期文献中有许多不一致的2SPS应用的突出例子，我们的发现很重要。本研究可为未来在实证工作中面临内生性问题的健康经济学研究人员提供指导。
