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Re: st: re: ivregress


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: ivregress
Date   Mon, 09 May 2011 22:14:56 +0200

See also:

http://ideas.repec.org/p/nbr/nberte/0248.html

Best,
J.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________


On 09.05.2011 17:09, Christopher Baum wrote:
<>

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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