Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: st: Re: Quadratic Instrumental Variables


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Re: Quadratic Instrumental Variables
Date   Mon, 2 Jan 2012 11:32:54 -0500

Mojgan,

You may want to take a look at some of the literature on non-linear IV estimation (although to be more precise, it usually applies to the endogenous regressor--->outcome relation, not IV--->endogenous regressor):

Lochner, L., & Moretti, E. (May 2011). Estimating and Testing Non-Linear Models Using Instrumental Variables. NBER Working Paper No. 17039.  http://emlab.berkeley.edu/~moretti/nonlinearities.pdf

Mogstad, M., & Wiswall, M. (September 2010). Linearity in Instrumental Variables Estimation: Problems and Solutions. IZA DP No. 5216Forschungsinstitut zur Zukunft der Arbeit.http://ftp.iza.org/dp5216.pdf

Newey, W.K. (1990). Efficient Instrumental Variables Estimation of Nonlinear Models. Econometrica, 58(4), 809-837. 

Hu, Y. (2008). Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution. Journal of Econometrics, 144(1), 27-61.

Others may be able to give more methodological and Stata-specific advice.

Cam
----------------------------------------
> Date: Mon, 2 Jan 2012 16:27:44 +0100
> From: mojgan.stegl@uni-tuebingen.de
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: Quadratic Instrumental Variables
>
>
>
> Dear all,
>
> Is it possible to use quadratic instrumental variables on Stata using
> ivregress command?
>
> fertility = a0 +a1 x education + a2 x ...+ u
>
> education is endogenous so i will use distance to Tehran and square
> distance to Tehran as instruments. The reduced form equation:
>
> education = b0 + b1x distance to Tehran + b2 x (distance to Tehran)^2
>
>
> Best wishes
>
> Mojgan
>
>
>
> *
> * 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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index