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Re: st: RE: IV with incomplete data on endog var


From   [email protected]
To   [email protected]
Subject   Re: st: RE: IV with incomplete data on endog var
Date   Wed, 20 Jul 2005 15:14:13 -0500

I believe the paper is:

Angrist, Joshua D. and Alan B. Krueger (1995). "Split-Sample 
Instrumental Variables
Estimates of the Returns to Schooling." Journal of Business and 
Economic Statistics 13:2, 225-235.

The working paper version can be obtained at:

http://www.irs.princeton.edu/pubs/pdfs/320.pdf


Scott

----- Original Message -----
From: "Millimet, Daniel" <[email protected]>
Date: Wednesday, July 20, 2005 11:40 am
Subject: st: RE: IV with incomplete data on endog var

> 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
> 

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