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Re: st: instrumental variable nomenclature


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: instrumental variable nomenclature
Date   Mon, 25 Aug 2008 13:42:58 -0500

So this is a measurement error model of some kind, right? I'd say Z is
the error-prone measurement of X. And if anything I would call K the
instrument.

In all likelihood you can estimate this using gllamm.

On Mon, Aug 25, 2008 at 1:26 PM, Feiveson, Alan H. (JSC-SK311)
<alan.h.feiveson@nasa.gov> wrote:
> 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"?
>

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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