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RE: st: Re: Quadratic Instrumental Variables
From
Cameron McIntosh <[email protected]>
To
STATA LIST <[email protected]>
Subject
RE: st: Re: Quadratic Instrumental Variables
Date
Mon, 2 Jan 2012 11:32:54 -0500
Mojgan,
You may want to take a look at some of the literature on non-linear IV estimation (although to be more precise, it usually applies to the endogenous regressor--->outcome relation, not IV--->endogenous regressor):
Lochner, L., & Moretti, E. (May 2011). Estimating and Testing Non-Linear Models Using Instrumental Variables. NBER Working Paper No. 17039. http://emlab.berkeley.edu/~moretti/nonlinearities.pdf
Mogstad, M., & Wiswall, M. (September 2010). Linearity in Instrumental Variables Estimation: Problems and Solutions. IZA DP No. 5216Forschungsinstitut zur Zukunft der Arbeit.http://ftp.iza.org/dp5216.pdf
Newey, W.K. (1990). Efficient Instrumental Variables Estimation of Nonlinear Models. Econometrica, 58(4), 809-837.
Hu, Y. (2008). Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution. Journal of Econometrics, 144(1), 27-61.
Others may be able to give more methodological and Stata-specific advice.
Cam
----------------------------------------
> Date: Mon, 2 Jan 2012 16:27:44 +0100
> From: [email protected]
> To: [email protected]
> Subject: st: Re: Quadratic Instrumental Variables
>
>
>
> Dear all,
>
> Is it possible to use quadratic instrumental variables on Stata using
> ivregress command?
>
> fertility = a0 +a1 x education + a2 x ...+ u
>
> education is endogenous so i will use distance to Tehran and square
> distance to Tehran as instruments. The reduced form equation:
>
> education = b0 + b1x distance to Tehran + b2 x (distance to Tehran)^2
>
>
> Best wishes
>
> Mojgan
>
>
>
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