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st: Re: ML and instrumental variables


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: ML and instrumental variables
Date   Tue, 18 Jul 2006 10:46:13 -0400

Valerie

If you are using -ml- you can add another equation in your model
that describe the relationship between instrumented and instruments...
this is more efficient than a two-step procedure.

Rodrigo.

----- Original Message ----- 
From: "Valérie Orozco" <Valerie.Orozco@toulouse.inra.fr>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, July 18, 2006 6:49 AM
Subject: st: ML and instrumental variables


I'm estimating an AIDS model with ML using and changing the program from
Poi concerning the QUAIDS model.
I would like to add instrumental variables since I think that some
variables are endogeneous.  Is it a special way to test endogeneity with
ML (I know the hausman test) ? Is it a special way to specify
instrumental variables (I don't know if I can use ivreg2) and how to
test the validity of my instrumental variables (Does overid still ok?)

Thank you for advice.

valérie


-- 

***********************
Valérie Orozco
INRA ESR Toulouse
ESR INRA - BP52627 - 31326 Castanet Tolosan Cedex
orozco@toulouse.inra.fr
05-61-28-50-97
***********************




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