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st: question about probit or logit, instrumental variables and panel data


From   "Ed Levitas" <levitas@uwm.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: question about probit or logit, instrumental variables and panel data
Date   Wed, 15 Apr 2009 11:12:51 -0500

Dear Statalisters,

We would like to estimate a probit (or logit) model within the panel
data context, but we believe we need to correct for possible
simultaneity bias.  Is there a way using STATA to estimate an
instrumental variable regression in the dichotomous outcome / panel data
context?  I assume that I cannot use IVPROBIT.  

Can one simply instrument possible endogenous predictors in a first
stage, and then use their predicted values in XTLOGIT ? 

Thanks in advance

Ed

****************************************
Edward Levitas, PhD
Associate Professor
Sheldon B. Lubar School of Business 
University of Wisconsin-Milwaukee
3202 N. Maryland Ave.
Milwaukee, WI  53211
ph: (414) 229-6825
fx: (414) 229-6957

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