I am trying to run a model with a binary endogenous regressor. I am still learning econometrics so I am sorry if this may be a trivial question.
In particular, I am trying to implement the procedure explained by Woooldridge 2010 at p. 939 (Procedure 21.1)
Would this be a correct approach?
Code:
* first I run a probit model on the binary variable (BV) I want to instrument. X are all included regressors and (Z) is my valid instrument probit BV X Z, cluster(id) * create fitted values predict prb_hat * use fitted values as instruments (it is a lagged dv model) xtivreg Y L.Y X (BV=prb_hat)
Code:
xtivreg Y L.Y X (BV=Z)
Thanks a lot in advance for your help
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