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st: Monte Carlo with IV and Multiple Regression


From   Stephen Armah <armah.stephen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Monte Carlo with IV and Multiple Regression
Date   Wed, 8 Apr 2009 07:08:54 -0500

Dear all
1) Is there anyone that has a simple example of a Monte Carlo code to
implement multiple regression IV?

Assume my IV model can be run as:

xtivreg2 y x1 x2 (x3 x4=z3 z4), bw(auto)

where y is the dependent variable; x1 and x2 are exogenous, x3 and x4
are endogenous and z3  and z4 are instruments.

2) Given finite sample, weak instruments, and more than one endogenous
variable is a Monte Carlo study of the OLS estimation superior to a
Monte Carlo study of IV estimation.


Thanks and be well
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