Does any one know a way to estimate a piecewise linear regression with instrument variable(s)?
I have a model below,
y = a + b*Xabovezero + c*Xbelowzero + control variables + error term.
where Xabovezero = X if X>0, and zero otherwise, and Xbelowzero=X if X<0, and zero otherwise.
In the event that X is endogenous, I want to use an instrument variable K. I wonder how to do it properly in stata. I found a paper discussing it https://www.dbmi.pitt.edu/sites/defa...s/Scheines.pdf but have not found stata ado files.
Any help is appreciated!
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