|
|  |
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
RE: st: RE: instruments in ivreg2
Bidisha,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Bidisha Mandal
> Sent: 23 October 2006 18:04
> To: [email protected]
> Subject: Re: st: RE: instruments in ivreg2
>
> Kit and Steve,
>
> Thank you. I think I have finally figured out the appropriate
> instruments. I have 2 endogenous regressors, and managed 4
> excluded instruments. The overidentification test gives a
> p-value of 0.15.
> I do have another question though. Change in Marital status
> (the endogenous regressor) is categorical. So I am doing the
> 2SLS by brute force, using logistic regression in the first
> stage. Obviously correcting for the standard errors is
> slightly more complicated. Any suggestion?
This comes up a lot on Statalist. Have a look at, e.g.,
http://www.stata.com/statalist/archive/2004-09/msg00339.html
http://www.stata.com/statalist/archive/2006-10/msg00316.html
http://www.stata.com/statalist/archive/2006-10/msg00275.html
http://www.stata.com/statalist/archive/2004-08/msg00662.html
and quite a few others over the years.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
>
> Thanks again,
>
> Bidisha Mandal
>
> Dept. of AED Economics
> The Ohio State University
>
>
>
> Steven Stillman wrote:
> > Hi Bidisha.
> >
> > As Kit points out, it is fine to use a time-invariant
> variable as an
> > excluded instrument for a time-variant endogenous variable, but you
> > are quite likely to end up with a weak instrument problem.
> >
> > Depending on your data, you might be able to create slightly more
> > informative time-variant instruments such as the number of
> cumulative
> > years of each parent's current marriage or number of years
> since being
> > married if not-married, cumulative number of marriages for each
> > parent, average length of each parents marriages, etc. If
> your data
> > allows you to create more than one instrument of this flavour, you
> > could then run an overidentification test. You would still need to
> > carefully test that none of these instruments was weak.
> >
> > Cheers,
> > Steve
> >
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]]On Behalf Of Kit Baum
> > Sent: Sunday, October 22, 2006 1:59 PM
> > To: [email protected]
> > Subject: st: instruments in ivreg2
> >
> >
> > Bidisha said
> >
> > d(mental health) = a1 + d(marital status) + d(income) + e1
> >
> > You realize that the presence of the constant in this
> equation implies
> > that there is a trend in mental health status? Although
> many of us may
> > feel that way, I wonder if you really mean that. Same issue
> arises for
> > the second equation.
> >
> > As to your question -- whether you can use parents' marital status
> > (presumably still married v. divorced or widowed) as an
> instrument for
> > the change in marital status observed in your sample... Surely you
> > will observe some changes in your sample. For parents'
> status to be a
> > valid instrument, it must be correlated with the endogenous
> measure (
> > d(mar.status)) and independently distributed of the error e1. The
> > latter is reasonable, given that parental status is
> predetermined; but
> > I wonder how well correlated it will be to the included
> measure. Look
> > at the first stage regression results closely.
> >
> > As you have written them, both of these equations appear exactly
> > identified, so that you cannot carry out any overid tests.
> >
> > Kit Baum, Boston College Economics
> > http://ideas.repec.org/e/pba1.html
> > An Introduction to Modern Econometrics Using Stata:
> > http://www.stata-press.com/books/imeus.html
> >
> >
> > *
> > * 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/
>
*
* 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/
