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st: ivreg2 for dichotomous dependent variable

From   David Leblang <[email protected]>
To   [email protected]
Subject   st: ivreg2 for dichotomous dependent variable
Date   Wed, 12 Apr 2006 06:32:14 -0600

Dear All,
I am working with an instrumental variables model where the dependent
variable of the outcome (second stage) equation is dichotomous.  I have
been using the ivprobit command but my data likely have serially
correlated errors.  To that end I like the options and flexibility of
ivreg2 (with the bw option to deal with serial correlation) and wonder
about the optimality of using that command as a linear probability
model.  I understand that I will have predictions that may range outside
of the (0,1) interval but I am more concerned about the efficiency and
bias of my estimates.  Any thoughts or ideas would be most appreciated.
David Leblang
University of Colorado
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