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st: re: ivregress
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: re: ivregress
Date
Mon, 9 May 2011 11:09:59 -0400
<>
Andrea said
I am dealing with an endogeneity issue and I was thinking to use
ivregress. However my "first stage" equation, given the nature of my
instrumented variable (0/1) has to be a probit or a logit.
What would be the best way to deal with this issue? Is there a command
that allows to specify the regression model of each stage?
Thank you very much in advance!
This is a FAQ. There is no problem in using standard 2SLS in the first stage. See slide 50 in
http://repec.org/usug2007/baumUKSUG2007.pdf
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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