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st: 2SLS with FE and binary endogenous variable?


From   Xinyi W <w_xy2006@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2SLS with FE and binary endogenous variable?
Date   Mon, 26 Mar 2007 15:34:17 -0700 (PDT)

Hello Statalisters,

I was wondering if it is possible to estimate a model
with a binary endogenous variable and individual fixed
effects. I was thinking that having individual fixed
effects in the second stage would require individual
fixed effects in the first stage (clogit). In other
words:

Y_it = b X_it + c Z_it + a_i + e_it
Z_it = d X_it + f M_it + a_i + e_it

where Z is binary.

Is this possible if Y is continous? If Y is binary? 

Any guidance would be greatly appreciated!

Xinyi


 
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