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From | John Antonakis <John.Antonakis@unil.ch> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: SUEST vs IV |
Date | Thu, 07 Apr 2011 17:40:32 +0200 |
Hi:I am examining the effect of an endocrinological variable (X) as a predictor in a regression model; X correlates very strongly with being male.
Suppose the basic model is: y = a0 + a1X + control variables + uOne way to account for the difference in X for males and females is to include the dummy variable male in the regression:
y = b0 + b1X + b2Male + control variables + eI could also interact Male with X and all the predictor variables to remove any heterogeneity in the model due to being Male. Or a simpler way to do this is with seemingly unrelated estimation (suest). That is, I estimate the model separately for women and men and then stack the models with suest. In this way, I can clearly see the effect of X on y in both groups and do cross-equation tests as needed.
However, to see the general effect of X on y, while accounting for what causes X, yet another specification might be to instrument X with Male (because X is actually endogenous to Male):
ivreg2 y (X= male + other instruments) controlsIf the Hansen J test is non-significant, it means that the effect of being Male on Y is mediated fully via X.
Of course, the suest and ivreg2 models are looking at different things; however, which is more defensible do you think?
I would be interested in your thoughts (and alternative modeling procedures if relevant).
Best, J. -- __________________________________________ Prof. John Antonakis Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ * * 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/