I am currently facing puzzle and I hope some of you will be able to provide me some insights. I have this model: y: binary variable, x1: binary variable (endogenous), z: binary instrument, x2: controls, i.year: dummies for each year, i.region: dummies for each region with in total about 4,000 observations
I first run my 2SLS and I obtained that the effect of x1(instrumented by z) on y is positive.
But my problem is when I turn to a bivariate probit, using the following stata code:
biprobit (y=x1 x2 i.year i.region) (x1= z x2 i.year i.region), cluster(region) margins, dydx(x) predict(pmarg1) force
Now I obtain a negative effect, even though from what I've seen I shoud at least get the same sign in the biprobit and the 2SLS.
Does anyone has any idea for what reason I have this problem, or have some suggestion as to what I should do?