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st: re: ivregress

From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: re: ivregress
Date   Mon, 9 May 2011 11:09:59 -0400


Andrea said

I am dealing with an endogeneity issue and I was thinking to use
ivregress. However my "first stage" equation, given the nature of my
instrumented variable (0/1) has to be a probit or a logit.
What would be the best way to deal with this issue? Is there a command
that allows to specify the regression model of each stage?
Thank you very much in advance!

This is a FAQ. There is no problem in using standard 2SLS in the first stage. See slide 50 in

Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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