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st: re: ivregress


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: re: ivregress
Date   Mon, 9 May 2011 11:09:59 -0400

<>

Andrea said

I am dealing with an endogeneity issue and I was thinking to use
ivregress. However my "first stage" equation, given the nature of my
instrumented variable (0/1) has to be a probit or a logit.
What would be the best way to deal with this issue? Is there a command
that allows to specify the regression model of each stage?
Thank you very much in advance!


This is a FAQ. There is no problem in using standard 2SLS in the first stage. See slide 50 in

http://repec.org/usug2007/baumUKSUG2007.pdf

Kit Baum   |   Boston College Economics & 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




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