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st: panel IV binary endogenous


From   bob bob123456789 <bbob6082@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel IV binary endogenous
Date   Wed, 21 Apr 2010 11:53:33 -0400

I'm trying to estimate the following model with low T panel data:

Dit=1( ( a1*Rit+a2*X1+k1*t+wi+e1it)>0)

Rit=b1*Dit+b2*X2+k2*t+vi+e2it

That is, R is a continuous endogenous variable, both series have linear
trends and random effects,  and D is binary.

Can you tell me are xtivreg or ivprobit appropriate for this model? If not,
can you suggest another model? Can X1 or X2 include lags?



The most relevant discussion I can find is on the listserver dates back to
2004:

http://www.stata.com/statalist/archive/2004-11/msg00502.html

I appreciate any help anyone can provide. Thanks.


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