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Re: 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   nicola.baldini2@unibo.it, statalist@hsphsun2.harvard.edu
Subject   Re: Repost: instrumental variables regression with random effects GLS using cross-section data and endogenous binary independent variable
Date   Mon, 8 Oct 2007 09:49:56 +0100 (BST)

What I mean is I estimated initially a random effects
GLS model; now I want to correct for the endogenity
between the dependent and one of the independent
variable which is a binary variable as stated in my
email below.


--- nicola.baldini2@unibo.it wrote:

> 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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