Re: st: IV est. /w binary endogenous and binary dependent var

[jean ries <ries@ires.ucl.ac.be>]

Guido,

You should use -biprobit-. I think that -ivprob- is intended to be used 
with a continuous endogenous regressor (please correct me if I am 
wrong). A look at Wooldridge (2002), may be useful (section 15.7.3). 
What he is suggesting looks like -biprobit- to me.

Reference:
Jeffrey M. Wooldridge, Econometric Analysis of Cross Section and Panel 
Data, MIT Press, 2002.

jean

Guido Heineck wrote:


> I would appreciate if someone could give me a hint on the following 
> problem: I have a binary dependent variable, a set of covariates plus 
> a binary endogenous regressor for which I have an instrument.
>
> Adapting a suggestion for a somewhat similar problem 
> (http://www.stata.com/statalist/archive/2004-09/msg00339.html), would 
> anyone please advise me whether the following would be correct:
>
> probit w x1-xn z
> predict ghat
> ivprob y , endog(w) iv(ghat) exog(x1-xn)
>
> where:
> y ==> binary outcome
> x1-xn ==> exogenous variables
> w ==> endogenous binary variable
> z ==> instrument
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