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Re: st: Instrumental Variables


From   jean ries <ries@ires.ucl.ac.be>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Instrumental Variables
Date   Thu, 07 Oct 2004 14:14:19 +0200

Rodriguez, Maria Victoria wrote:

I have a doubt and I will appreciate anybody`s help.

I need to use instrumental variables in a logit model. Is this posible?
Is de two.stage least squares method applicable to logit models?

Here are some possibilities that might interest you:

1. Estimate a linear probability model by two stage least squares
2. If your endogenous variable is continuous you could use -ivprob-. N.B. this is not an official command: -findit ivprob- will take you to it
3. If your endogenous variable is binary, you could use -biprobit-

Wooldridge (2002) is discussing this in chapter 15.7.2 and 15.7.3

Jeffrey M. Wooldridge, (2002), Econometric Analysis of Cross Section and Panel Data, MIT Press.

Hope this helps,

jean
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