Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression


From   Christine Scheef <christine.scheef@unisg.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression
Date   Fri, 23 Dec 2011 09:16:48 +0100

Thank you Tirthankar. You answer was very helpful!

Two more questions:
1) Wooldridge states in the first step that "ALL exogenous variables" 
should be included to estimate the binary endogenous variable (thus, X1 in 
this case). So, I do not include my instruments Z in this equation? Do I 
have to perform any test of fit? Or does the probit/chi2 just needs to be 
significant?

2) Considering my third point. the instruments Z are thus, e.g. X2hat*X1. 
To meet the overidentification restriction I would need one more 
intstrument than endogenous variable. Can I include a further instrumental 
variable in ivregress?

Best,
Christine


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index