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Re: st: endogenous variables
From
DE SOUZA Eric <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
Re: st: endogenous variables
Date
Sun, 8 Aug 2010 19:07:06 +0200
You cannot choose an endogenous variable to instrument. If you have three endogenous explanatory variables, then you need at least three instruments. Otherwise, your model is under-identified and estimation will fail.
If you instrument only one endogenous variable with one instrument, you are implicitly supposing that the other explanatory variables in the equation are exogenous.
Eric de Souza
College of Europe
BE-8000 Brugge (Bruges)
Belgium
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