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RE: st: Re: Quadratic Instrumental Variables
From
Mojgan Stegl <[email protected]>
To
[email protected]
Subject
RE: st: Re: Quadratic Instrumental Variables
Date
Tue, 03 Jan 2012 09:24:45 +0100
Thank you I will read the literature you have kindly referred me to!
Best wishes
Mojgan
Zitat von Cameron McIntosh <[email protected]>:
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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