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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

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

Subject |
st: RE: instrumental variable nomenclature |

Date |
Mon, 25 Aug 2008 20:07:22 +0100 |

Al, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Feiveson, Alan H. (JSC-SK311) > Sent: 25 August 2008 19:26 > To: statalist@hsphsun2.harvard.edu > Subject: st: instrumental variable nomenclature > > 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? Not quite. Say the "true model" is Y = X*b + e but you estimate Y = Z*b + u Z is an imperfect measure of X. Say that Z = X*a + v This is the classic measurement error problem. If you had an instrument for X, you could get a consistent estimate of b using linear IV. HTH. Cheers, Mark > 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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: RE: instrumental variable nomenclature***From:*"Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>

**References**:**st: instrumental variable nomenclature***From:*"Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov>

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