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st: IV estimation for probit models with binary endogenous variable...?


From   F.S.A.Milway@warwick.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   st: IV estimation for probit models with binary endogenous variable...?
Date   Thu, 2 Apr 2009 11:28:30 +0100 (BST)

Dear All,
I have a problem that you may be able to help with?

I have a model of the following form:

y = a + b1x1 + b2x2 + ... +xn + u

Where y = a binary dependent variable (a probit model)
X1 is a binary variable with potential reverse causality (endogenous)
x2 - xn are exogenous variables.

I wondered whether you may use IV for this? and how I would go about this?

Would I run for example:

probit X1 X2...Xn Z

save the predicted values and then put them back into my origional equation?

Any help with this matter would be greatly appreciated.

Kind Regards

Fiona M




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