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- Sat May 03, 2014 3:10 pm
- Forum: Estimation
- Topic: 2SLS with Probit in first stage regression
- Replies: 0
- Views: 2182
2SLS with Probit in first stage regression
Hi, I'd like to do a 2SLS estimation using Probit for the first-stage regression (see Wooldridge 2002 P.623). Eg: y = a + b1x1 + b2x2 + u, where x1 is an endogenous dummy variable, and where I would like to use z1 as an instrument for x1. So first stage regression (Probit): x1 = a + b1z1 + b2x2 + e ...