Mark - OK, you convinced me - I think I see that I don't have an
"instrument" after all (except for my bassoon at home). Thanks for your
thoughts on this - I especiallly enjoyed the Lewis Carroll excerpt.
Al
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Schaffer,
Mark E
Sent: Tuesday, August 26, 2008 6:43 AM
To: [email protected]
Subject: st: RE: RE: RE: instrumental variable nomenclature
Al,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Feiveson,
> Alan H. (JSC-SK311)
> Sent: Monday, August 25, 2008 8:23 PM
> To: [email protected]
> Subject: st: RE: RE: instrumental variable nomenclature
>
> 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.
If X is not observable, then you wouldn't say Z is an "instrument" for
it. That's my understanding, at any rate, of the use of the
terminology.
Of course, you can go down the Humpty Dumpty Econometrics route
http://www.sundials.org/about/humpty.htm
but I'm not a big fan of that approach!
Cheers,
Mark
> 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.
>
>
> *
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>
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>
--
Heriot-Watt University is a Scottish charity registered under charity
number SC000278.
*
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