Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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 22:02:09 -0500 |

Hi Lisa, Ah, I was missing something. Forgot that you were using fixed effects. Well in that case, best of luck with it. - Conor On Sat, Apr 9, 2011 at 9:02 PM, Lisa Rickles <lrickles@sas.upenn.edu> wrote: > Conor, > > I appreciate your insight, but I am not sure I fully understand. I > was interested in using parent education because it should be > correlated with achievement at every point in time (and therefore with > lagged achievement). > > Using fixed effects, I am already controlling for unobserved > time-invariant factors for each child. If I understand correctly, the > exogeneity problem arises only if parent education level is correlated > with the idiosyncratic error term. I don't think parent education > level would be correlated with the time-varying error term. > > Lisa > > On Sat, Apr 9, 2011 at 9:02 PM, Conor Hughes <cbhughes@uchicago.edu> wrote: >> 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 >> >> * >> * 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 > > * > * 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 * * 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/

**References**:**st: Using time invariant variable as instrument in fixed effects?***From:*Lisa Rickles <lrickles@sas.upenn.edu>

**st: Re: Using time invariant variable as instrument in fixed effects?***From:*Lisa Rickles <lrickles@sas.upenn.edu>

**Re: st: Re: Using time invariant variable as instrument in fixed effects?***From:*Conor Hughes <cbhughes@uchicago.edu>

**Re: st: Re: Using time invariant variable as instrument in fixed effects?***From:*Lisa Rickles <lrickles@sas.upenn.edu>

- Prev by Date:
**Re: st: Re: Using time invariant variable as instrument in fixed effects?** - Next by Date:
**st: RE: saving regression output after "PV" command** - Previous by thread:
**Re: st: Re: Using time invariant variable as instrument in fixed effects?** - Next by thread:
**st: Creating a variable with a value conditional on other variables** - Index(es):