Dear Statalist,

I estimate a logit model where the dependent variable is a dummy and the predictor also is a binary variable that is likely endogenous (simultaneity problem).

1) I attempt to perform IV estimation, that is first run logit model of my endogenous varaible (binary) on one excluded instrument (that takes values 1, 2, 3, 4 and 5) and control variables (age, age square, living location-rural or urban-, gender...). And second, estimate a logit model of the dummy dependent variable on the fitted probabilities that replace the endogenous regressor.

Question: Is that correct?

2) I also use the two-step estimator, that is first estimate a logit or probit model of the binary endogenous regressor on the excluded instrument and control variables. And then, run ivregress 2sls of the dummy dependent variable on the fitted probabilities as excuded instrument adding control variables.

Question: I wonder whether that is correct in my case? Or, can I just use ivreg2 command of stata to perform the IV estimation?

Many thanks in advance

Steph

I estimate a logit model where the dependent variable is a dummy and the predictor also is a binary variable that is likely endogenous (simultaneity problem).

1) I attempt to perform IV estimation, that is first run logit model of my endogenous varaible (binary) on one excluded instrument (that takes values 1, 2, 3, 4 and 5) and control variables (age, age square, living location-rural or urban-, gender...). And second, estimate a logit model of the dummy dependent variable on the fitted probabilities that replace the endogenous regressor.

Question: Is that correct?

2) I also use the two-step estimator, that is first estimate a logit or probit model of the binary endogenous regressor on the excluded instrument and control variables. And then, run ivregress 2sls of the dummy dependent variable on the fitted probabilities as excuded instrument adding control variables.

Question: I wonder whether that is correct in my case? Or, can I just use ivreg2 command of stata to perform the IV estimation?

Many thanks in advance

Steph

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