Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


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

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 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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index