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Re: st: FW: level of measurement for instrumental variable


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu, redstone@illinois.edu
Subject   Re: st: FW: level of measurement for instrumental variable
Date   Mon, 12 Sep 2011 18:30:38 +0100

This was posted previously -- see
http://www.stata.com/statalist/archive/2011-09/msg00363.html -- and
received two replies. Please refer to the archives.

Nick

On Mon, Sep 12, 2011 at 6:22 PM, Akresh, Ilana Redstone
<redstone@illinois.edu> wrote:
> 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.

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