Re: st: RE: Instrumental variables

[Cordula Stolberg <cs32@sussex.ac.uk>]

Julie,

Thanks for that. It's good to hear that I gave you the opportunity to 
contribute to the list...:)

You wouldn't by any chance know another solution to my instrumental 
variables problem? The thing is that there is no obvious instrument in my 
case.

Thanks again,
Cordula

--On 13 July 2004 09:27 -0500 "Trivitt, Julie" <JTrivitt@walton.uark.edu> 
wrote:


> I'm so excited, I finally get to contribute to the statalist after being
> an observer for a few months.
>
> Cordula,
> I don't think your plan will work.  The instrument you suggested (c1x1)
> will be perfectly collinear with b1X1 you have in the original equation.
> You will need to find an instrument for X2 that is not in the original
> equation.
>
> Julie Trivitt
> Economics PhD Student
> Walton College of Business
> University of Arkansas
>
>
>
> -----Original Message-----
> From: Cordula Stolberg [mailto:cs32@sussex.ac.uk]
> Sent: Tuesday, July 13, 2004 9:15 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Instrumental variables
>
> Dear Statalisters,
>
> Following on from my earlier problems with endogeneity and panel data, I
>
> now have a question with regard to the choice of the instrumental
> variable.
> I have the regression (panel data, fixed effects)
>
> Y b1X1 b2X2 b3dummies
>
> and I suspect that X2 might be endogenous. Is it possible to obtain an
> instrument by first estimating
>
> X2 c1X1
>
> (where X1 is the same variable as the X1 in the first regression) and
> then
> use the predicted values of X2 as the instrument for the first
> regression?
>
> Thanks for any suggestions,
> Cordula
>
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/



*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/