My dependent variable is count data and for explanatory analysis we used a negative binomial regression. One variable is endogenous and we would like to instrument it. However, in Stata there is only one (user-written) program for IV regressions when the dependent variable is count data by nature, namely
ivpois. It employs GMM, though. For R, there are even less, namely zero, packages available that deal directly with such IV regressions.
Therefore I thought about using standard 2SLS methods (
ivreg() for R or
ivreg2 for Stata). Can anything go wrong if we do so?
ivpoisfor Stata? $\endgroup$