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st: iv clogit


From   marco stampini <marco_stampini@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: iv clogit
Date   Wed, 21 Mar 2007 12:18:54 -0700 (PDT)

I am estimating a fixed effect logit regression

clogit D X P, group(id)

where D is a dummy variable.
P is endogenous. I cannot do instrumental variables in clogit.

Could I proceed with a linear approssimation and estimate

xtreg D X P, i(id)

and then

xtivreg D X (P=Z), i(id)

I have a feeling that the linear approximation would be consistent, but I am not sure.
Any hint is welcome.
Thanks, Marco


 
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