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From |
Sachin Chintawar <schint1@tigers.lsu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Interesting Results - But Am I Right? |

Date |
Fri, 24 Apr 2009 15:00:42 -0600 |

Dear Statalist Users I have been playing around with endogenous variable models and the hypothsis that 'An increase in instruments tend to increase the bias of our estimates'. While this was shown to be true by A. Buse 'The Bias of Instrumental Variable Estimators' in Econometrica (1992). My simulation results showed the contrary (A simple variation was that this was a probit model - Thanks to Mr. Martin for the million questions while I was coding it). The program until now is given below. Under the conditions specified I see that as I increase the instuments (from z1 to z4) the bias in the 'beta' value actually decreases. My question is 1. Am I specifying everything in the model right? 2. Why this difference in results from another paper? ---------------------------------------------------Start Example----------------------------------------------------------------------------- global numobs 500 // sample size N global numsims "50" // number of simulations set seed 123456789 capture program drop endoprob program endoprob // , rclass version 10.1 drop _all set obs $numobs generate u = rnormal() generate mu = rnormal() //generate x = rnormal() generate z1 = rnormal() // 4 Instruements generate z2 = rnormal() generate z3 = rnormal() generate z4 = rnormal() // Also be written *drawnorm u mu x1 z1 z2 z3 z4 generate a = 0.5*u generate x = z1 + a regress x z1 // endogenous regressor with four instruments predict px generate y = 0.5 + px + mu + u>4 //Reduced Form Equation ivprobit y (x= z1) predict py end simulate _b _se y py , /// reps($numsims): endoprob mean x* y* --------------------------------------------------------------End Example------------------------------------------------------------------ * * 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**:**Re: st: Interesting Results - But Am I Right?***From:*Austin Nichols <austinnichols@gmail.com>

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