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st: RE: Re: Binary endogenous variable in a panel data set
Jo,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> jyotsna puri
> Sent: 03 February 2006 13:01
> To: [email protected]
> Subject: st: Re: Binary endogenous variable in a panel data set
>
> 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).
This isn't the case. It's the same as generic IV - you don't need to
make this assumption for the standard properties of IV to carry through.
If you are looking for increased efficiency, though, you could consider
a variation on a procedure recommended by Wooldridge in his 2002 book,
which is similar to what you propose below except that you use the
generated variable as an _instrument_ for the endogenous regressor.
That way, you don't have to bootstrap.
HTH.
--Mark
>
> 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]
> I am supporting the education of underprivileged kids. You can too:
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