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Repost: instrumental variables regression with random effects GLS using cross-section data and endogenous binary independent variable


From   Renuka Metcalfe <rm18203@yahoo.co.uk>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   Repost: instrumental variables regression with random effects GLS using cross-section data and endogenous binary independent variable
Date   Thu, 4 Oct 2007 14:38:57 +0100 (BST)

Dear Statalisters

I have a cross-section data and my dependent variable
is continuous and I have one independent variable
which is endogenous and is binary. I have an
instrument for the endogenous binary independent
variable. I ran random effects GLS as follows

Y x1 x2 x3 x4 

Since x4 is endogenous with Y, I now want to use an
instrument Z. Y is a continuous variable x4 is an
endogenous binary variable. The data are also grouped
across workplaces.

Looking at the archives it was suggested that a probit
be used for the first stage estimation of the
independent endogenous binary variable. But the
dependent variable there was censored. 

If you need further information please let me know.

Thanks in advance

Best wishes



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