it seems that a two-step procedure where you form out of sample predictions of the endogenous var and then do the 2nd stage with the predicted regressor would yield valid estimates and that a bootstrap procedure would yield valid inference. this sounds related to some papers by angrist on a procedure called split-sample IV. i think the paper i am thinking of was published in journal of applied econometrics. if you can't track it down, feel free to email me and i can look for it.
dann
************************************************
Daniel L. Millimet, Associate Professor
Department of Economics
Box 0496
SMU
Dallas, TX 75275-0496
phone: 214.768.3269
fax: 214.768.1821
homepage: http://faculty.smu.edu/millimet
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-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of Roger Harbord
Sent: Wednesday, July 20, 2005 11:25 AM
To: Statalist
Subject: st: IV with incomplete data on endog var
Calling all IV experts:
I have an application of instrumental variables where the endogenous
regressor is only measured on a subsample of the data, but the excluded
instruments and the outcome are measured on the full sample. If i use
-ivreg- or -ivreg2- then (I assume) i will be using the subsample only. It
appears to me that in principle under two-stage least-squares i could do
the first-stage regression on the subsample but generate predictions for
the full sample and hence make use of the full sample for the second stage.
But I'm less clear how to get a valid variance estimate, or if there's a
way of doing this within -ivreg- or -ivreg2-.
In the simplest case I have no exogeneous regressors (included
instruments), though I may well wish to add some at a later stage. I'd have
(almost) complete data on these for the full sample.
Many thanks for any thoughts (or pointers to any existing literature on
this)
Roger.
--
Roger Harbord
Department of Social Medicine, University of Bristol
http://www.epi.bris.ac.uk
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