Hi Mark, Stas -
Sorry, I think I didn't explain the causative sequence properly. What I
should have said was that Z affects X through X = h(Z) + d, where d is
an error term independent of e. For example, Z is a dose and X is a
(non-observable) effect. That's why I thought that Z would be an
instrument for X rather than the other way around. Does your
interpretation still with the above causative sequence?
Thanks
Al
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Schaffer,
Mark E
Sent: Monday, August 25, 2008 2:07 PM
To: [email protected]
Subject: st: RE: instrumental variable nomenclature
Al,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Feiveson,
> Alan H. (JSC-SK311)
> Sent: 25 August 2008 19:26
> To: [email protected]
> Subject: st: instrumental variable nomenclature
>
> 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?
Not quite. Say the "true model" is
Y = X*b + e
but you estimate
Y = Z*b + u
Z is an imperfect measure of X. Say that
Z = X*a + v
This is the classic measurement error problem. If you had an instrument
for X, you could get a consistent estimate of b using linear IV.
HTH.
Cheers,
Mark
> 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"?
>
> Of course, how to estimate such a model is another story!
>
> Thanks for whatever suggestions (names or estimation
> approach) you can provide.
>
> Al Feiveson
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity registered under charity
number SC000278.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
