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st: 2sls with two endogenous variables(one is continuous, the other is binary)


From   yi jiang <yistata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2sls with two endogenous variables(one is continuous, the other is binary)
Date   Thu, 3 Mar 2005 13:24:25 -0500

hope you guys are not too bored with endogeneity yet.
i have a linear model like Y= w q X
I believe q (continuous) and w (binary) are both endogenous. and i run
a first stage model.

i understand from some previous discussion that Wooldridge suggest a
model with one binary endogenous variable:
. probit w x1-xn z
. predict ghat
.  ivreg y x1-xn (w = ghat)

> > where:
> > y ==> outcome
> > x1-xn ==> exogenous variables
> > w ==> endogenous binary variable
> > z ==> instrument

How do i do this with two endogenous variables? any help is appreciated. thanks!
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