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.