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st: Several endogenous dummies, one instrument for each, in a binary model


From   [email protected]
To   [email protected]
Subject   st: Several endogenous dummies, one instrument for each, in a binary model
Date   Fri, 30 Jan 2009 20:26:18 +0100

Dear Statalisters:
I'm estimating a series of probit models with several possibly endogenous dummy variables. Following the suggestions by Angrist (2001): Estimation of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice, Journal of Business and Economic Statistics, 19 (1) I'm using "standard" 2SLS. However, there is a problem with my instruments...because I just have one instrument for each of the endogenous dummies. The instruments are not dummies (but regional-level percentages).
I was thinking about running regressions of the following type:
y1 = b0 + b1z1 + b2z2 + b3x3+....+u
where z1 and z2 are possibly endogenous dummies, to instrument just one of the dummies (for instance, z1) and keep the other dummy (for instance, z2) as a control without instrumenting it. As I said, the instruments can just be used for 1 of the endogenous dummies. Are the estimates on the instrumented dummy consistent in this case? Does anyone know of any other procedure that I could use in this case?
Any help or suggestion is greatly appreciated!
Katharina
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