st: Re: IVreg and curvelinear effects

[Ricardo Gon�alves Silva <ricardogs@terra.com.br>]

Hi
If your reasoning were correct, I believe that
gen x1_2 = x1*x1
ivreg x1  x1(2) control1 control2, (x1=z1) (x1_2=2)
do the same thing with corrected sd.

But I not sure about the tranformation. If X is endogenous in a regression
then any "linear" tranformation of it is also endogenous. However taking 
squares
is not linear, so I dont know if the new variable still endogenous. Perhaps 
a Hausman-type
test for endogenity may help.

Ricardo
----- Original Message ----- 
From: <Christer.Thrane@hil.no>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, January 18, 2005 4:35 PM
Subject: st: IVreg and curvelinear effects



> Hi listers,
>
> My substantive curvelinear regression equation is
>
> Y = a + b1(x1) + b2(x1*x1) + control1 + control2
>
> However, I'm pretty certain that x1 is endogenous and determined by the
> instruments z1 and z2. My intuition then tells me that x1*x1 must be
> endogenous too. Hence my "manual" solution would be to:
>
> reg x z1 z2
> predict test
> gen testsq=test*test
> reg y test testsq control1 control2
>
> Two qustions:
> 1. Is my intuition/reasoning correct here?
> 2. Can this be done more automatically, so that I get correct standard
> errors (I assume they ar wrong in my manual solution)?
>
> Thanks in advance for any help.
>
> Best regards,
>
> Christer Thrane
>
>
>
>
> qustion: How do I perform the IVreg in this setting
>
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