[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: instrumental variable nomenclature

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

Al Feiveson

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index