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st: level of measurement for instrumental variable

From   "Akresh, Ilana Redstone" <>
To   "" <>
Subject   st: level of measurement for instrumental variable
Date   Sat, 10 Sep 2011 10:51:27 +0000

I saw on the Statalist website that statistics are an appropriate topic of discussion (in addition to direct questions on Stata). Thus, my questions:

I am specifying the following multi-level regression:

yhat = x1i  + x2i + z1j

where x1 and x2 vary at the individual level, i, (the unit of analysis in my regression) and z1 varies at the census tract level, j

[1] Since where someone lives (and therefore their census tract) is a choice variable and isn't random, I believe I need to instrument for z1. In that case, does my ideal instrument vary at the level j (the level of measurement of z) or at the level i (the level of the analysis)?

[2] If I add z2j to the analysis (where z2 also varies at the tract level), would I need a separate instrument for z2?

Thank you for your patience with this (probably very elementary) question.

Ilana Redstone Akresh
Department of Sociology
University of Illinois at Urbana-Champaign

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