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Re: st: endogenous variables


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: endogenous variables
Date   Sun, 8 Aug 2010 19:07:06 +0200

You cannot choose an endogenous variable to instrument. If you have three endogenous explanatory variables, then you need at least three instruments. Otherwise, your model is under-identified and estimation will fail.

If you instrument only one endogenous variable with one instrument, you are implicitly supposing that the other explanatory variables in the equation are exogenous.

Eric de Souza
College of Europe
BE-8000 Brugge (Bruges)
Belgium


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