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Re: st: Re: Using time invariant variable as instrument in fixed effects?


From   Conor Hughes <cbhughes@uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Using time invariant variable as instrument in fixed effects?
Date   Sat, 9 Apr 2011 20:02:57 -0500

Hi Lisa,
Maybe I'm missing something, but if you're trying to estimate math
achievement, would the parents' education level be a valid instrument?
 It seems pretty reasonable on first look to imagine that the parents'
education level would be correlated with their child's math
achievement, however you're defining that, so the instrument wouldn't
be exogenous.

I know this doesn't really answer your question, but hopefully it's
helpful in one way or another.

- Conor

On Sat, Apr 9, 2011 at 1:27 PM, Lisa Rickles <lrickles@sas.upenn.edu> wrote:
>
> > Thank you so much for the suggestion.
> >
> > I looked at xthtaylor, but I am not sure if it would work because I
> > have an explanatory variable that is correlated with both the
> > individual time-constant unobserved effects and the idiosyncratic
> > error.
> >
> > In particular, I am trying to estimate math achievement, and I include
> > a lagged dependent variable (lagged math score) in the regression.  I
> > am not sure exactly how xthtaylor works, but it seems that the lagged
> > score would be correlated with the idiosyncratic error, as well as the
> > unobserved ability.  (I would have used a second or third lag as in
> > instrument instead with xtivreg, but I do not have enough prior scores
> > in the data).  Therefore I was hoping to use parent education level
> > (time constant) as an instrument for the lagged test score.
> >
> > Is there any way I can use the time-constant parent education as an
> > instrument for the time varying test score, while still controlling
> > for individual effects?
> >
> > Thanks,
> > Lisa
> >
> > On Fri, Apr 8, 2011 at 8:06 PM, Fernando Rios Avila <f.rios.a@gmail.com> wrote:
> >> By default I don’t think  you can do such a thing.
> >> I think, however, that you could check on xthtaylor. Which could to handle
> >> that issue for invariant instruments.
> >>
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lisa Rickles
> >> Sent: Friday, April 08, 2011 8:01 PM
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: st: Using time invariant variable as instrument in fixed effects?
> >>
> >> Dear Statalist,
> >>
> >> Is it possible for me to use a time invariant variable as an instrument in a
> >> fixed effects regression?  I am currently using xtivreg, and it is demeaning
> >> the instrument I want to use and causing the endogenous variable to drop out
> >> of the regression.
> >>
> >> Thanks,
> >> Lisa
> >>
> >> --
> >> Lisa Rickles
> >> College of Arts and Sciences
> >> University of Pennsylvania, Class of 2011 lrickles@sas.upenn.edu
> >>
> >> *
> >> *   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/
> >>
> >>
> >
> >
> >
> > --
> > Lisa Rickles
> > College of Arts and Sciences
> > University of Pennsylvania, Class of 2011
> > lrickles@sas.upenn.edu
> > 201-274-9326
> >
>
>
>
> --
> Lisa Rickles
> College of Arts and Sciences
> University of Pennsylvania, Class of 2011
> lrickles@sas.upenn.edu
> 201-274-9326
>
> *
> *   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/



--
Conor Hughes
Mathematics and Economics
University of Chicago 2011

*
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