Dear all:
I am using Stata 15 to run a linear regression with endogenous treatment aiming to do instrumental variable analysis with a dummy endogenous variable.
I have two potential instruments and would like to test whether I should include one of them or both.
My basic model is this:
etregress y1 c.X1 i.X2 , treat(y2 = c.z1 c.z2 c.X1 i.X2)
, where y1 is the continuous outcome, X1 and X2 are vectors of independent variables, y2 is the dummy endogenous variable, and z1 and z2 potential instruments.
I can also estimate this as
eregress y1 c.X1 c.X2, endogenous(y2 = c.z1 c.z2 c.X1 i.X2, probit), which gives the same results.
Any help on how to test which instrument(s) to use would be very much appreciated.
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