I am estimating a fixed effect logit regression
clogit D X P, group(id)
where D is a dummy variable.
P is endogenous. I cannot do instrumental variables in clogit.
Could I proceed with a linear approssimation and estimate
xtreg D X P, i(id)
and then
xtivreg D X (P=Z), i(id)
I have a feeling that the linear approximation would be consistent, but I am not sure.
Any hint is welcome.
Thanks, Marco
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