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st: xtivreg first stage questions


From   David Torres <writeon4truth2@msn.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg first stage questions
Date   Tue, 3 Dec 2013 17:37:16 -0500

Hello, Statlist,

I have a couple quick questions about Stata's xtivreg command.  I'm using the command for a growth curve model and the variable I'm instrumenting for is a time-varying binary covariate.

1.  Does anyone know whether the first stage is calculated using OLS or logit or probit?  I'm told it's conventional approach to use a linear probability model when the predictor being instrumented for is binary.  I would appreciate a link to any literature discussing what is done in xtivreg's first stage.

2.  Is there a way to get the F-statistic from the first stage?  Or is there another statistic (the z for the instrument, for instance) that I can use to show that my instrument is a good one?

3.  I interact the binary variable and its instrument with dummies for race and sex and then include them in their respective portion of the parentheses part of the xtivreg model.  This is okay, right?

4.  Related to 2 and 3, since I have multiple instruments in the cross-level interaction model, I suppose I can get my Fs from the xtoverid command, using the noisily option.  Am I right?

Thanks,


--

David Diego Torres, PhD
NSF SBE Postdoctoral Research Fellow
Houston Education Research Consortium
Rice University
6100 Main Street, MS-28
Houston, TX  77005
Phone: 713-348-2984
Email: ddtorres at rice dot edu 		 	   		  
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