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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
re: st: Endogenous Regressors Predicted by the Same IV |

Date |
Mon, 1 Mar 2010 11:01:31 -0500 |

<> Iâ€™m pretty sure that what weâ€™re trying to do is mathematically estimable under certain assumptions. So, we are trying to figure out the syntax for the estimating procedure. And, then weâ€™d like to clarify the assumptions that have to hold for us to accept the estimates. We are ultimately trying to estimate a dep var we will call Y_dep. Y_dep is being predicted by X_1, X_2, â€¦X_10. But, X_1, X_2, and X_3 are all endogenous. We believe they can all be predicted by the same instrumental variable, Z_1. And, furthermore, we are willing to accept that Z_1 has no direct effect on Y_dep beyond its effects through X_1, X_2, and X_3. No can do. This is a textbook case of under(un)identification. You need at least three Z variables to identify the equation, whether or not the estimation technique is OLS, probit, etc. Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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: Endogenous Regressors Predicted by the Same IV***From:*Austin Nichols <austinnichols@gmail.com>

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