st: Fw: reverse causality and sample size

[Maarten buis <maartenbuis@yahoo.co.uk>]

--- On Wed, 26/1/11, Victoria Alvarez wrote:
> I was not able to send my message through the statalist.
> Can I ask you to send  it for me?

 
> Dear Statalist,
> 
> I’m estimating a model specification where I suspect a
> variable to be endogenous  because of reverse-causality.
> 
> The model – that I call model 1 – looks as follows
> Y = b0 + b1X1 + b2X2 + b3X3 + u
> Where X3 is the potential endogenous variable. Note that
> this model refers to a dataset of 1000 observations
> referring to 80 industries.
> Then I run a two stage  regression. 
> 
> At the first stage, I regress the following model – that
> I call Model 2-:
> 
> X3 = a0 + a1Z1 + a2Z2 + a3Z3 + a4Z4 + v.
> 
> Model 2 is applied using a dataset with 80 observations
> referring to the 80 industries.
> 
> I use regress twice and compute the standard errors
> accounting for the inclusion of a predicted regressor in
> the second step. In the second step, I regress the 
> Model 1 over the 1000 observations and substituting X3 by
> the predicted X3 in the first stage. 
> 
> 
> Is it a problem if the two datasets that I use in the two
> regressions have a different size?
> 
> I would appreciate any help in this matter.
> Best,
> Victoria



      

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