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st: Correlated instruments in 2SLS estimates

From   "Francesco Burchi" <[email protected]>
To   <[email protected]>
Subject   st: Correlated instruments in 2SLS estimates
Date   Thu, 28 Jan 2010 15:26:00 +0100

Dear Statalisters,

I am running two-stage least square estimates because one continuous
variable is likely to be endogenous. I am using two dummy variables as
instruments for this endogenous covariate. These two instruments are
correlated (rho=0.35), is there any specific problem related to having
correlated instruments? I am using Stata 10 and the ivreg2 procedure to
compute the estimates.

Thanks a lot,

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