Stata: Data Analysis and Statistical Software

Hi

you can use ivreg2 in that case.

reason: you are only interested in predicting computationally correct values of the endogenous X, but not in getting the 'right' coefficients on Z.
In a sense, the size of Z is of no interest to you; only its predictive power matters.

Hope this helps

Justina




[email protected] schrieb: -----

An: [email protected]
Von: Javier Pérez <[email protected]>
Gesendet von: [email protected]
Datum: 08.02.2011 10:23AM
Thema: st: xtivreg2 with endogenous binary regressors

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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