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st: Time invariant variable instrumenting it and intreg


From   "dsrhg dgr" <cave1234@gmx.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time invariant variable instrumenting it and intreg
Date   Thu, 2 May 2013 02:11:13 +0200 (CEST)

Dear stata-list,
 
I have two problems concerning instrumental variables.
 
I'm estimating a pooled panel regressions. One of my exogenous variables is a time-variant variable. Since it is taken from a sruvey, I would ike to instrument it to cope with measurement error.
 
(1) In a 2sls specification, is it possible to regress the other exogeneous variables which are time-varying on the time-invariant survey variable? It seems a bit strange to me, due to the panel structure of the data.
(2) the original endogenous variable is censored at 0, hence I use intreg. Is it safe if I do the first stage by hand, save the predicted values and plug it into intreg fpr a second stage regressions?
 
Thank you in advance.
 
Best,
Frank

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