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Re: st: Quadratic IV?


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quadratic IV?
Date   Fri, 4 Sep 2009 16:09:03 -0500

I wonder whether Stata 11's factor variable syntax (c.c#c.c) would
work here. It should, at least for RHS variables; not so sure about
the variables to be instrumented.

On Fri, Sep 4, 2009 at 9:10 AM, Austin Nichols<austinnichols@gmail.com> wrote:
> Christian Weiß<mail@cweiss.org>:
> This is a FAQ on the list, answered many times e.g.
> http://www.stata.com/statalist/archive/2003-11/msg00795.html
> i.e. you may say
> "i doubt that ivregre a b ( c c² = x y) is a viable solution"
> but it is, modulo incorrect syntax.  You can also:
> g c2=c^2
> g xy=x*y
> g x2=x^2
> g y2=x^2
> ivregress liml a b (c c2=x y xy x2 y2)
> estat overid
> estat firststage
> *etc.
>
> On Thu, Sep 3, 2009 at 9:06 PM, Christian Weiß<mail@cweiss.org> wrote:
>> Dear Statalisters,
>>
>> I'd like to estimate the following regression modell:
>> Dep. Var: a
>> Indep. Vars: b c c²
>>
>> c i supposed to be instrumented by the instruments x y. If it was not
>> for the additional quadratic instrument, the solution should be easy:
>>
>> ivreg(2) a b ( c = x y) - but how to include the quadratic instrument?
>> i doubt that ivregre a b ( c c² = x y) is a viable solution.
>> Unforuntately  the ivreg a b (c = x y) (c = x y)² syntax is not allowed.
>>
>> Do you have any suggestions for me how to solve this problem?
>> Best regards
>> Chris
>
> *
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>



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

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