Marijke,
I don't know the answer for your question but I can give you some questions
that you can explore. Note that the reference that you wrote describes 1
dummy variable, which sounds reasonable to do it by that procedure instead
of linear IV. Moreover, Wooldridge said that the estimation of the
parameters and the specification of the model in the first stage do not
affect the standard errors of 2SLS. Great!!!
How many instruments are you going to use for these dummies? Same set for
each one? What number several means? Why not combine the choices into a
multinominal problem (solving by mlogit or mprobit)? After you feel
confortable with your entire model, equations for the dummies plus your 2SLS
one I think that it is not longer valid the non-effect on std errors when
you are trying to solve for several endogenous dummies.
Maybe a full characterization of the problem is the way to go. You can
describe all the process (endogenous dummies plus your continuous variable)
as a maximum likelihood framework. You will pay with additional assumption
above the model but the reward will be a complete system with "no-better"
standard errors.
Rodrigo.
----- Original Message -----
From: "Verpoorten, Marijke" <Marijke.Verpoorten@econ.kuleuven.be>
To: <statalist@hsphsun2.harvard.edu>; <statalist@hsphsun2.harvard.edu>;
<statalist@hsphsun2.harvard.edu>
Sent: Friday, August 25, 2006 3:38 PM
Subject: st: several endogenous dummies
Dear statlisters,
I wonder whether, when having a continuous variable as a dependent variable
and several endogenous dummies, it`s better to use the usual 2SLS (ivreg2),
instead of instrumenting the dummies non-linearly (as in Wooldridge, 2002,
p623-625). Could you help me with this question?
Kind regards,
Marijke
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