So this is a measurement error model of some kind, right? I'd say Z is
the error-prone measurement of X. And if anything I would call K the
instrument.
In all likelihood you can estimate this using gllamm.
On Mon, Aug 25, 2008 at 1:26 PM, Feiveson, Alan H. (JSC-SK311)
<[email protected]> wrote:
> Hi - I am looking for a name/title to describe the following
> simulatenous-equation model:
>
> This starts with a linear regression model Y = X*b + e, but X is not
> observed. However we know X is correlated with an observable variable Z,
> with error term independent of e. So at this point, would it be correct
> to say this is an instrumental variable model with Z as an instrument
> for X?
>
> Furthermore we also observe K = g(X) where g is a step function (for
> example, K follows an ordered probit model with X as the latent
> variable). So to get the nomenclature straight, can I say that this is a
> nonlinear simultaneous equation model (one equation for Y given X, and
> one for K given X), with Z as an "instrumental variable for X"?
>
--
Stas Kolenikov, also found at http://stas.kolenikov.name
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