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


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: Repost: instrumental variables regression with random effects GLS using cross-section data and endogenous binary independent variable
Date   Sat, 06 Oct 2007 12:35:01 +0200

I don't know what "ran random effects GLS" means, since you declare having a cross-section. -ivreg- (and related commands, such as -ivreg2-, -xtivreg-, etc.) can be used with a dummy endogenous variable, too.

Nicola

At 02.33 05/10/2007 -0400, Renuka Metcalfe wrote:
>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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