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From |
"Schaffer, Mark E" <[email protected]> |

To |
<[email protected]> |

Subject |
st: RE: RE: RE: instrumental variable nomenclature |

Date |
Tue, 26 Aug 2008 12:42:42 +0100 |

Al, > -----Original Message----- > From: [email protected] > [mailto:[email protected]] On Behalf Of > Feiveson, Alan H. (JSC-SK311) > Sent: Monday, August 25, 2008 8:23 PM > To: [email protected] > Subject: st: RE: RE: instrumental variable nomenclature > > Hi Mark, Stas - > > Sorry, I think I didn't explain the causative sequence > properly. What I should have said was that Z affects X > through X = h(Z) + d, where d is an error term independent of > e. For example, Z is a dose and X is a > (non-observable) effect. That's why I thought that Z would be > an instrument for X rather than the other way around. If X is not observable, then you wouldn't say Z is an "instrument" for it. That's my understanding, at any rate, of the use of the terminology. Of course, you can go down the Humpty Dumpty Econometrics route http://www.sundials.org/about/humpty.htm but I'm not a big fan of that approach! Cheers, Mark > Does > your interpretation still with the above causative sequence? > > Thanks > > Al > > > -----Original Message----- > From: [email protected] > [mailto:[email protected]] On Behalf Of > Schaffer, Mark E > Sent: Monday, August 25, 2008 2:07 PM > To: [email protected] > Subject: st: RE: instrumental variable nomenclature > > Al, > > > -----Original Message----- > > From: [email protected] > > [mailto:[email protected]] On Behalf Of > Feiveson, > > Alan H. (JSC-SK311) > > Sent: 25 August 2008 19:26 > > To: [email protected] > > Subject: st: instrumental variable nomenclature > > > > 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? > > Not quite. Say the "true model" is > > Y = X*b + e > > but you estimate > > Y = Z*b + u > > Z is an imperfect measure of X. Say that > > Z = X*a + v > > This is the classic measurement error problem. If you had an > instrument for X, you could get a consistent estimate of b > using linear IV. > > HTH. > > Cheers, > Mark > > > 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/ > > > > > -- > Heriot-Watt University is a Scottish charity registered under > charity number SC000278. > > > * > * 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/ > > * > * 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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: RE: RE: RE: instrumental variable nomenclature***From:*"Feiveson, Alan H. (JSC-SK311)" <[email protected]>

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

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

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

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