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st: endogenous dummy as well as an endogenous outcome


From   "Sascha Steffen" <steffen@bank.bwl.uni-mannheim.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: endogenous dummy as well as an endogenous outcome
Date   Sat, 27 Feb 2010 15:44:07 +0100

Dear all,

 

I try to solve an econometric problem where I have an endogenous dummy as
well as an endogenous outcome. As far as I know, treatreg is only valid as
long as the outcome is continuous. I tried the binary probit model, but I
cannot estimate the model as I always get the error "initial values not
feasible". My sample has > 1 Mio observations but not too many controls (but
most of them are binary). I have two questions: (1) Are there any usual
suspects why this error occurs I can look at and how could I specify a new
vector of starting values; (2) what are other IV options with a binary
outcome? Shall I just use the Wooldridge (2002) method p. 623-625 and ignore
the binary outcome?

Best wishes

Sascha
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