
From  Kit Baum <baum@bc.edu> 
To  statalist@hsphsun2.harvard.edu 
Subject  st: Re: simultaneous equations with fixed effects and robust standard errors 
Date  Wed, 13 Jun 2007 06:38:43 0400 
Thank you  Kit Baum  very much for your comments. I am not really sure, however, of what you mean by standard IV estimators in the context of my model, which is mixed with one continuous endog var and 6 binary endog variables. If I use the xtivreg2 as follows, can you tell me if I translate your comments correctly into STATA code:
xtivreg2 maturity (leverage=size profit) (my_binary_var=size profit ) dividends year86year05, fe robust endog( leverage my_binary_var)
I would need to do the bracket part of the code that contains my_binary_var six times because I have six binary endog variables and include them all in the above xtivreg2?
The reason why I need to use probit or logit is not because I am concerned about a consistent estimator, but because I need to do a twostage estimates and the first stage involves a binary variable. Am I right?
If you have a source that states that the first stage estimation does not need to involve a probit or logit, I'd really appreciate your giving me that reference. All I have is Maddala (1983), pages 243245.
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