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]
st: Weighted 2SLS
Daniel Brown <firstname.lastname@example.org>
st: Weighted 2SLS
Tue, 28 Feb 2012 12:55:16 +0000
I have a question about the use of weights in 2SLS in a panel context, which I believe the xtivreg2 command supports.
I am employing a 2SLS instrumental variables analysis to a fixed effects regression where both my dependent variable and my instrument are themselves calculated as an average across underlying individuals - such that each observation for my dependent variable and instrument are of different reliability (where I know exactly how many observations have been used to calculate them, and so the weight I would like to attach to each observation - using the aweights command). Intuitively, if I were to attempt to employ fixed effects 2SLS, I thought that I would want to weight my first and second stage regression differently - my first stage regression taking into account the different reliability of observations for my instrument, and the second stage taking into account the different reliability of observations of my dependent variable. Econometrically, I was not sure whether applying weights in this way would undermine the role of the first stage in dividing up exogenous from pot!
entially endogenous variation in my independent variable, or whether this approach is acceptable. I am also unsure as to whether the xtivreg2 command allows the use of a different weight for each stage, and if not then whether the weight command in xtivreg2 applies that weight to both stages of 2SLS.
* For searches and help try: