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Re: st: xtivreg2 with endogenous binary regressors


From   Filipe Silva <filipeourico@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtivreg2 with endogenous binary regressors
Date   Tue, 8 Feb 2011 09:47:33 +0000

Hi,

Please correct me if wrong:
I am having a similar issue. However I'm using the fitted values from
a first step nl regression and using them as instrument for the
endogenous in the second step (see textbook Cameron & Trivedi, 2005
pp. 193). The problem is the correction of se in the second step.
Either you cumpute the V correction manually (not sure if there is an
appropriate package?) or use bootstrap.

My question:
Could this also apply to the case of an ordinal endogenous variable,
since what is used is a linear projection?

Many thanks,

Filipe


2011/2/8 Justina Fischer <JFischer@diw.de>:


> 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
>
>
>
>
> -----owner-statalist@hsphsun2.harvard.edu schrieb: -----
>
> An: statalist@hsphsun2.harvard.edu
> Von: Javier Pérez <gjavierperezv@googlemail.com>
> Gesendet von: owner-statalist@hsphsun2.harvard.edu
> 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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