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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

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 |
Mon, 8 Oct 2007 16:42:30 +0100 |

Renuka, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Renuka Metcalfe > Sent: Monday, October 08, 2007 9:50 AM > To: nicola.baldini2@unibo.it; statalist@hsphsun2.harvard.edu > Cc: rm18203@yahoo.co.uk > Subject: Re: Repost: instrumental variables regression with > random effects GLS using cross-section data and endogenous > binary independent variable > > 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. Why not use -xtivreg-? It does IV random effects in two flavours (G2SLS and EC2SLS), both of which are consistent whether or not the endogenous regressor is binary or continuous. HTH, Mark > --- 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 > > > > > > > > ____________________________________________________ > One email account is enough. Simplify your life by switching > other accounts into Yahoo! Mail. > http://uk.docs.yahoo.com/mail/trueswitch_overview > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**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>

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