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Re: st: 2SLS: same variable as instrument and dependent variable?


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 2SLS: same variable as instrument and dependent variable?
Date   Tue, 10 Nov 2009 22:56:58 +0000 (GMT)

--- On Tue, 10/11/09, Christian Weiß wrote:
> I am estimating the following 2SLS model:
> 
> Firm Performance = A B (C = E F Firm Performance)
> 
> I noticed that whereas ivreg allows to use the SAME
> variable as overall depdndent varialble AND instrument,
> ivreg2 does not allow to do so.
> Personally, I consider it as awkward to somehow predict a
> variasble by itself, even on a 2sls, however I am
> wondering what is actually correct?

If I understand the IV stuff correctly you are assuming
that Firm performance only influences Firm performance 
through C and that there is no direct effect of Firm 
performance on itself. That assumptions just has to be 
false. 

-- Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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