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st: instruments in ivreg2

From   Christopher Baum <>
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 

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 Baum, Boston College Economics
An Introduction to Modern Econometrics with Stata:
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