Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: re: Discrete endogenous variables in 2SLS?


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: Discrete endogenous variables in 2SLS?
Date   Wed, 29 Apr 2009 16:35:30 -0400

<>
Jeffrey said
Can XTIVREG be used in the case of discrete endogenous variables in some way? I have a problem such as: Y = f(a,b,c) a = f(z,b,c) where 'a' is a dichotomy. For 'z' to be an instrument for 'a' then there is a co-linearity problem.
If the command
xtivreg y (a=z) b c, fe
has a collinearity problem, it indicates that there is something wrong with the set (z b c iota) as instruments. That sounds to me like a case of 'perfect prediction'. What happens if you try to estimate the dichotomous equation
probit a z b c
does that complain of 'perfect prediction'? If that is the case then your main equation is not identified.
Kit

Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index