Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: instruments in ivreg2


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: instruments in ivreg2
Date   Mon, 23 Oct 2006 14:51:10 -0400

Bidisha said

Thank you. I think I have finally figured out the appropriate 
instruments. I have 2 endogenous regressors, and managed 4 excluded 
instruments. The overidentification test gives a p-value of 0.15.
I do have another question though. Change in Marital status (the 
endogenous regressor) is categorical. So I am doing the 2SLS by brute 
force, using logistic regression in the first stage. Obviously 
correcting for the standard errors is slightly more complicated. Any 
suggestion?

Thanks again,

Bidisha Mandal


As our coauthor Mark Schaffer said more than once on Statalist (check the Statalist archives) there is nothing wrong with using IV regression in this circumstance. 

There are other techniques out there that explicitly recognize the categorical nature of the endogenous regressor but I think you should be ok with ivreg2.

Kit

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics with Stata:
http://stata-press.com/books/imeus.html
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index