[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: instrumental variable nomenclature |

Date |
Mon, 25 Aug 2008 13:26:09 -0500 |

Hi - I am looking for a name/title to describe the following simulatenous-equation model: This starts with a linear regression model Y = X*b + e, but X is not observed. However we know X is correlated with an observable variable Z, with error term independent of e. So at this point, would it be correct to say this is an instrumental variable model with Z as an instrument for X? Furthermore we also observe K = g(X) where g is a step function (for example, K follows an ordered probit model with X as the latent variable). So to get the nomenclature straight, can I say that this is a nonlinear simultaneous equation model (one equation for Y given X, and one for K given X), with Z as an "instrumental variable for X"? Of course, how to estimate such a model is another story! Thanks for whatever suggestions (names or estimation approach) you can provide. Al Feiveson * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: instrumental variable nomenclature***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: instrumental variable nomenclature***From:*"Stas Kolenikov" <skolenik@gmail.com>

- Prev by Date:
**Re: st: calculating statistics for multiple variables** - Next by Date:
**Re: st: RE: new reshape command compatibility issue** - Previous by thread:
**st: Question about AR(1) in the GMM estimations** - Next by thread:
**Re: st: instrumental variable nomenclature** - Index(es):

© Copyright 1996–2014 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |