Bidisha said
Thank you. I think I have finally figured out the appropriate
instruments. I have 2 endogenous regressors, and managed 4 excluded
instruments. The overidentification test gives a p-value of 0.15.
I do have another question though. Change in Marital status (the
endogenous regressor) is categorical. So I am doing the 2SLS by brute
force, using logistic regression in the first stage. Obviously
correcting for the standard errors is slightly more complicated. Any
suggestion?
Thanks again,
Bidisha Mandal
As our coauthor Mark Schaffer said more than once on Statalist (check the Statalist archives) there is nothing wrong with using IV regression in this circumstance.
There are other techniques out there that explicitly recognize the categorical nature of the endogenous regressor but I think you should be ok with ivreg2.
Kit
Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics with Stata:
http://stata-press.com/books/imeus.html
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