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re: st: Endogenous Regressors Predicted by the Same IV


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

<>
I’m pretty sure that what we’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 we’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, …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


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