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RE: st: Re: Quadratic Instrumental Variables


From   Mojgan Stegl <mojgan.stegl@wiwi.uni-tuebingen.de>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Re: Quadratic Instrumental Variables
Date   Tue, 03 Jan 2012 09:24:45 +0100

Thank you I will read the literature you have kindly referred me to!

Best wishes
Mojgan

Zitat von Cameron McIntosh <cnm100@hotmail.com>:

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



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