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st: xtivreg2 with endogenous binary regressors


From   Javier Pérez <gjavierperezv@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg2 with endogenous binary regressors
Date   Tue, 8 Feb 2011 04:23:36 -0500

I was wondering if anybody could please help me with the following
issue: in my model I want to use the xtivreg2 Stata command, but in my
case both the endogenous regressor and the instrument are binary; but
the first stage with the xtivreg2 gives me only OLS estimators,
instead of a logit or probit ones. Could you please give me any light
about the potential solution? I saw one author with a similar
situation just using the OLS first stage in this case, so the question
could then become how can I justify using an OLS fisrt stage rather
than logit or probit with the binary dep var.

Many thanks in advance. Javier
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