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Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression
From
Christine Scheef <[email protected]>
To
[email protected]
Subject
Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression
Date
Fri, 23 Dec 2011 09:16:48 +0100
Thank you Tirthankar. You answer was very helpful!
Two more questions:
1) Wooldridge states in the first step that "ALL exogenous variables"
should be included to estimate the binary endogenous variable (thus, X1 in
this case). So, I do not include my instruments Z in this equation? Do I
have to perform any test of fit? Or does the probit/chi2 just needs to be
significant?
2) Considering my third point. the instruments Z are thus, e.g. X2hat*X1.
To meet the overidentification restriction I would need one more
intstrument than endogenous variable. Can I include a further instrumental
variable in ivregress?
Best,
Christine
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