Hi all,
I have an unbalanced panel dataset.
My dependent variable of interest is continuous but there is also
an endogenous binary variable - which I must instrument for.
I have used xtivreg to estimate this model. However
xtivreg does not account for the binary nature of the endogenous
variable (my understanding is that it assumes the endogenous variable to
be continuous).
Can some one advise me on any utility/route to deal with this?
One possibility is to do a 2 step routine: Estimate the equation
for the endogenous binary variable using xtprobit. Take the predicted
values, and use it in the second stage equation and bootstrap the
standard errors for the second stage.
Has any one done this and can you advise me on the possible pitfalls?
Best,
-Jo
Jyotsna (Jo) Puri
[email protected]
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