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From |
"Stas Kolenikov" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: instrumental variable nomenclature |

Date |
Mon, 25 Aug 2008 13:42:58 -0500 |

So this is a measurement error model of some kind, right? I'd say Z is the error-prone measurement of X. And if anything I would call K the instrument. In all likelihood you can estimate this using gllamm. On Mon, Aug 25, 2008 at 1:26 PM, Feiveson, Alan H. (JSC-SK311) <[email protected]> wrote: > 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"? > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**References**:**st: instrumental variable nomenclature***From:*"Feiveson, Alan H. (JSC-SK311)" <[email protected]>

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