Maarten,
thank you very much for the suggestions,
Sara
--- Mar 22/7/08, Maarten buis <[email protected]> ha scritto:
> Da: Maarten buis <[email protected]>
> Oggetto: Re: st: IV with missing values
> A: [email protected]
> Data: Martedì 22 luglio 2008, 16:21
> --- sara borelli <[email protected]> wrote:
> > I am estimating the following regression:
> >
> > y1= ax + by2 + u
> > where y2 is endogenous and I am using some varaible z
> as identifying
> > instrument
> >
> > y1, x, z are osberved for the whole sample, but y2 is
> missing for 30%
> > of observations.
> > If I use ivreg, stata estimates the model only on the
> non-missing
> > observations. But I need to estimate the model on the
> whole sample.
> > Therefore I explicitly performed the two steps
> separately,
> > predicting y2 in the first stage for the whole sample
> and inserting
> > it into the second stage. But I know the standard
> errors may be
> > biased. Does anyone know a way to estimate this
> correctly?
>
> I don't think that your procedure is going to solve
> your problem: This
> way your predictions of y2 are still based on the sample
> without
> missing data. A more principled approach is to use -ice-,
> see the
> articles below:
>
> Royston, P. 2004. Multiple imputation of missing values.
> Stata Journal
> 4(3): 227–241.
>
> Royston, P. 2005. Multiple imputation of missing values:
> update. Stata
> Journal 5(2): 188–201.
>
> Royston, P. 2005. Multiple imputation of missing values:
> Update of ice.
> Stata Journal 5(4): 527-536.
>
> Royston, P. 2007. Multiple imputation of missing values:
> further update
> of ice, with an emphasis on interval censoring. Stata
> Journal 7(4):
> 445-464.
>
> You can find these articles here:
> http://www.stata-journal.com/archives.html
>
> Hope this helps,
> Maarten
>
>
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
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