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From |
"Feiveson, Alan H. (JSC-SK311)" <[email protected]> |

To |
<[email protected]> |

Subject |
st: instrumental variable nomenclature |

Date |
Mon, 25 Aug 2008 13:26:09 -0500 |

Hi - I am looking for a name/title to describe the following simulatenous-equation model: This starts with a linear regression model Y = X*b + e, but X is not observed. However we know X is correlated with an observable variable Z, with error term independent of e. So at this point, would it be correct to say this is an instrumental variable model with Z as an instrument for X? Furthermore we also observe K = g(X) where g is a step function (for example, K follows an ordered probit model with X as the latent variable). So to get the nomenclature straight, can I say that this is a nonlinear simultaneous equation model (one equation for Y given X, and one for K given X), with Z as an "instrumental variable for X"? Of course, how to estimate such a model is another story! Thanks for whatever suggestions (names or estimation approach) you can provide. Al Feiveson * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: instrumental variable nomenclature***From:*"Schaffer, Mark E" <[email protected]>

**Re: st: instrumental variable nomenclature***From:*"Stas Kolenikov" <[email protected]>

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