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From | Jason Wichert <jasonw8907@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: RE: Testing for instrument relevance and overidentification when the endogeneous variable is used in interaction terms |
Date | Fri, 14 Jun 2013 20:08:43 +0200 |
Just as FYI for the silent followers of the discussion and future researchers browsing the stata archives for instrumentation of non-linear functions (and, admittedly, an attempt to revive this discussion :-) ), since the approach doesn’t seem that common: I’ve tried to read up more on the “control function approach” as dubbed by Wooldridge (2002), and building on – or at the very least closely related to - Hausman’s (1978) test for endogeneity. Another name is “Two-stage Residual Inclusion” or 2SRI, and it’s explained in more detail by Terza et al. (2008). While they show how to apply this method for nonlinear models, they do not explain any application for endogenous interaction term, ‘though. Terza, Joseph V., Anirban Basu, and Paul J. Rathouz (2008): Two-Stage Residual Inclusion Estimation: Addressing Endogeneity in Health Econometric Modeling, Journal of Health Economics, Vol. 27, Issue 3 (May), pp. 531-543. http://www.ncbi.nlm.nih.gov/pmc/articles/PMC2494557 http://ideas.repec.org/a/eee/jhecon/v27y2008i3p531-543.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/