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| From | Lisa Rickles <lrickles@sas.upenn.edu> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Re: Using time invariant variable as instrument in fixed effects? |
| Date | Sat, 9 Apr 2011 22:02:49 -0400 |
Conor, I appreciate your insight, but I am not sure I fully understand. I was interested in using parent education because it should be correlated with achievement at every point in time (and therefore with lagged achievement). Using fixed effects, I am already controlling for unobserved time-invariant factors for each child. If I understand correctly, the exogeneity problem arises only if parent education level is correlated with the idiosyncratic error term. I don't think parent education level would be correlated with the time-varying error term. Lisa On Sat, Apr 9, 2011 at 9:02 PM, Conor Hughes <cbhughes@uchicago.edu> wrote: > Hi Lisa, > Maybe I'm missing something, but if you're trying to estimate math > achievement, would the parents' education level be a valid instrument? > It seems pretty reasonable on first look to imagine that the parents' > education level would be correlated with their child's math > achievement, however you're defining that, so the instrument wouldn't > be exogenous. > > I know this doesn't really answer your question, but hopefully it's > helpful in one way or another. > > - Conor > > On Sat, Apr 9, 2011 at 1:27 PM, Lisa Rickles <lrickles@sas.upenn.edu> wrote: >> >> > Thank you so much for the suggestion. >> > >> > I looked at xthtaylor, but I am not sure if it would work because I >> > have an explanatory variable that is correlated with both the >> > individual time-constant unobserved effects and the idiosyncratic >> > error. >> > >> > In particular, I am trying to estimate math achievement, and I include >> > a lagged dependent variable (lagged math score) in the regression. I >> > am not sure exactly how xthtaylor works, but it seems that the lagged >> > score would be correlated with the idiosyncratic error, as well as the >> > unobserved ability. (I would have used a second or third lag as in >> > instrument instead with xtivreg, but I do not have enough prior scores >> > in the data). Therefore I was hoping to use parent education level >> > (time constant) as an instrument for the lagged test score. >> > >> > Is there any way I can use the time-constant parent education as an >> > instrument for the time varying test score, while still controlling >> > for individual effects? >> > >> > Thanks, >> > Lisa >> > >> > On Fri, Apr 8, 2011 at 8:06 PM, Fernando Rios Avila <f.rios.a@gmail.com> wrote: >> >> By default I don’t think you can do such a thing. >> >> I think, however, that you could check on xthtaylor. Which could to handle >> >> that issue for invariant instruments. >> >> >> >> -----Original Message----- >> >> From: owner-statalist@hsphsun2.harvard.edu >> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lisa Rickles >> >> Sent: Friday, April 08, 2011 8:01 PM >> >> To: statalist@hsphsun2.harvard.edu >> >> Subject: st: Using time invariant variable as instrument in fixed effects? >> >> >> >> Dear Statalist, >> >> >> >> Is it possible for me to use a time invariant variable as an instrument in a >> >> fixed effects regression? I am currently using xtivreg, and it is demeaning >> >> the instrument I want to use and causing the endogenous variable to drop out >> >> of the regression. >> >> >> >> Thanks, >> >> Lisa >> >> >> >> -- >> >> Lisa Rickles >> >> College of Arts and Sciences >> >> University of Pennsylvania, Class of 2011 lrickles@sas.upenn.edu >> >> >> >> * >> >> * 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/ >> >> >> >> >> > >> > >> > >> > -- >> > Lisa Rickles >> > College of Arts and Sciences >> > University of Pennsylvania, Class of 2011 >> > lrickles@sas.upenn.edu >> > 201-274-9326 >> > >> >> >> >> -- >> Lisa Rickles >> College of Arts and Sciences >> University of Pennsylvania, Class of 2011 >> lrickles@sas.upenn.edu >> 201-274-9326 >> >> * >> * 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/ > > > > -- > Conor Hughes > Mathematics and Economics > University of Chicago 2011 > > * > * 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/ > -- Lisa Rickles College of Arts and Sciences University of Pennsylvania, Class of 2011 lrickles@sas.upenn.edu 201-274-9326 * * 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/