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st: IV-GMM or 2SLS


From   nil sen <sen.nil09@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: IV-GMM or 2SLS
Date   Sun, 29 Aug 2010 02:03:16 -0500

Hi,

Please someone help me.

I am estimating a simultaneous equations model. I would like to know
can I use 2SLS or IV-GMM estimation with a binary endogenous
regressor? and with binary dependent variable?

Ex:

Eq1) Y1=a0+a1*X1+e1,

where X1 is a binary endogenous regressor and Y1 is a continuous
dependent variable.

Which one would be appropriate......IV-GMM: ivreg2 Y1 (X1=IVs for X1),
gmm2s,  or 2SLS:  ivreg2 Y1 (X1=IVs for X1)?

Eq2) X1=b0+b1*Y1+e2.

where X1 is a binary dependent variable and Y1 is continuous.

Which one would be appropriate......IV-GMM: ivreg2 X1 (Y1=IVs for Y1),
gmm2s,  or 2SLS:  ivreg2 X1 (Y1=IVs for Y1)?

All the instruments for X1 and Y1 are dummy variables.

If somebody knows the answer, please help.

An early reply is eagerly awaited.

Thank you very much.

Regards,

Nil
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