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st: Xtivreg with categorical endogenous covariate


From   "Dimitris Pavlopoulos" <D.Pavlopoulos@uvt.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Xtivreg with categorical endogenous covariate
Date   Thu, 4 May 2006 15:45:21 +0200

Dear all,

I want to run panel regression with a continuous dependent (wage). Among the
covariates I use, one (job mobility) is endogenous. Therefore, I want to use
a 2SLS fixed effects regression. However, my endogenous covariate is
categorical (has 3 values 0,1,2). 

What I would like to know is whether I can use xtivreg, fe for this
estimation. Although not mentioned specifically in the help for xtivreg, I
think that this command can be applied only if the endogenous covariate is
continuous and NOT when it is categorical. 

If xtivreg cannot be applied in my case, would you have any other
suggestions for doing the estimation procedure? For example could I run an
mlogit or an mprobit for the first step and then plug the predicted
probabilities in the primary equation in replace for the endogenous
covariate? But then how can I get correct standard errors?


Thank you in advance,
Dimitris Pavlopoulos


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