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st: IV with incomplete data on endog var

From   Roger Harbord <[email protected]>
To   Statalist <[email protected]>
Subject   st: IV with incomplete data on endog var
Date   Wed, 20 Jul 2005 17:24:36 +0100

Calling all IV experts:

I have an application of instrumental variables where the endogenous regressor is only measured on a subsample of the data, but the excluded instruments and the outcome are measured on the full sample. If i use -ivreg- or -ivreg2- then (I assume) i will be using the subsample only. It appears to me that in principle under two-stage least-squares i could do the first-stage regression on the subsample but generate predictions for the full sample and hence make use of the full sample for the second stage. But I'm less clear how to get a valid variance estimate, or if there's a way of doing this within -ivreg- or -ivreg2-.

In the simplest case I have no exogeneous regressors (included instruments), though I may well wish to add some at a later stage. I'd have (almost) complete data on these for the full sample.

Many thanks for any thoughts (or pointers to any existing literature on this)


Roger Harbord
Department of Social Medicine, University of Bristol

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