The instrumental-variables tag has no wiki summary.
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Econometrics: Sargan test
Here are 3 questions about econometrics and R codes.
Test the endogeneity of the variable EDUC:
...
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3answers
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What is endogeneity and what does it mean substantively? As an extension what is exogeneity?
My apologies if this is an obtuse question, I am neither a statistician nor a econometrician but as a student is empirical methods this question plagues me.
I understand that $$X'\epsilon=0$$ not ...
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2answers
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Where do I put the control variables in 2SLS?
When I am running a 2 stage least squares, where do I put the control variables? Should I put the control variables in the first stage? The second stage? Both?
Can someone explains why?
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1answer
100 views
Testing for weak instruments in panel data
Suppose I have hierarchical data such as students clustered into classrooms. I want to use a two stage least squares regression with an instrument that affects students at the classroom level to test ...
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0answers
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Limited Information Maximum Likelihood (LIML) estimation in R?
Curious whether anyone knows a package, or has written an implementation themselves, for conducting instrumental variables regressions using LIML in R. All of the R packages I have seen for IV ...
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0answers
131 views
What to do when no combination of instruments pass Sargan test in Arellano-Bond / GMM models?
I am facing the following issue in my Arellano-Bond models: no matter how I specify the models and no matter which instruments I chose, model never pass Sargan test.
So my theoretical question on ...
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0answers
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Regression with multiple endogenous regressors instrumental variables and interaction terms
I am running an two regressions one with a binary dependent variable (y) and one categorical.
My data is cross sectional so to deal with issues around causality, endogeneity (reverse causality) and ...
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123 views
Discussion about proxy- and instrument variables and endogeneity in the context of a multi equation model
Assume two equations
$Y_1 = X_1\beta_1 + X_2\beta_2 + U_1$
$Y_2 = X_1\alpha_1 + X_2\alpha_2 + U_2$
Further assume that $ \ U_1 = X_4 + E_1$ and $U_2 = X_4 + E_2$
with $ \ corr(Y_1,X_4)\ne 0, \ \ ...
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Question about Hausman-test for endogeneity with two endogenous regressors with potential heteroscedasticity
First question: Is the following example of computing the Hausman-test for endogenity with two endogenous regressors adequate?
Second question: Is it true that in case of heteroscedasticity, i.e. ...
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1answer
73 views
First stage of TSLS and the matrix of instruments W
If we assume we have 2 equations and each equation contains the other dependent variable.
$y_1 = \beta_0 + \beta_1 y_2 + \beta_2 z_1 + u_1$
$y_2 = \alpha_0 + \alpha_1 y_1 + \alpha_2 z_2 + u_2$
For ...
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When are the asymptotic variance of OLS and 2SLS equal?
Assume the model $ \ y = X\beta + u \ $ with $\ W \ $ is a $ \ n\times l \ $ so called matrix of instruments.
The following assumptions hold. There is a law of large numbers (LLN) for 1.,2.,3. and ...
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Mixed thoughts about the Durbin-Wu-Hausman Test. Is it really feasible?
I just studied (again) some statements of the DWH test.
After I thought about the theory behind the DWH test, is it not basically kind of useless since I cannot tell if there's actually a problem ...
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0answers
132 views
Definition of “optimal” instruments
The book I read (Davidson,MacKinnon - Econometric Theory and Methods) describes the definition of "optimal instrument variables" as the following:
Usually, and this is seen very often in other ...
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0answers
124 views
Limiting distribution of Hansen Sargan J statistic
I was reading about instrumental variables, where I found description of the Hansen Sargen J statistic. The model is the usual $y=X\beta+\epsilon$, where $X\in \mathbb{R}^{N\times K}$, ...
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1answer
56 views
Are variables, which linear combination results in a endogenous variable, endogenous?
I'm a little bit confused....
Lets say I assume $x$ to be endogenous and I observe that
$x = a v_1 + b v_2 + c v_3$
so that $x$ can be expressed as the perfect linear combination of $v_1, v_2, ...
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1answer
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When we are dealing with instrumental variables is this correct?
If I'm to find an instrumental variable for an equation, am I getting this idea right? I have this regression:
...
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0answers
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Two-stage least squares approach to Deming regression
I am interested in statistical inference for the Deming regression model:
$$ x_i=x^*_i + \epsilon_i$$
$$ y_i = (\alpha+\beta x^*_i) + \epsilon'_i$$
where the $x^*_i$'s are nonrandom fixed numbers, ...
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Comparing fuzzy RD estimates to an “OLS” analogue
In IV, I've sometimes seen the estimates compared to OLS to give a sense of how the LATE may compare to ATE.
What would the analogue be in fuzzy RD? What is the benchmark estimate?
I'd imagine ...
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3answers
262 views
Fuzzy regression discontinuity design and exclusion restriction
In a fuzzy regression discontinuity design, what does the exclusion restriction look like in terms of a conditional expectation between the instrument in the first stage and the error term in the ...
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How to do an instrumental variables regression with an instrumented interaction term in Stata?
I'm having a bit of a problem with Stata syntax. I need to do the following regression:
$$y = ax + bz + c(xz) + e$$
where both $x$ and $z$ are instrumented and also the interaction term $xz$ uses ...
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1answer
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How to account for a regressand affecting a regressor?
I forget the terminology, but this happens when you regress, say, $Y$ on a list of variables, and you suspect that $Y$ affects, say, $x_3$ in addition to $x_3$ affecting $Y.$ I forget how this is ...
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1answer
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Valid IV for panel?
In a panel regression using fixed effects, is it correct to use an instrument that does not vary by year? To use an old but simple example, Angrist and Kruger 1991 use quarter of birth to instrument ...
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1answer
161 views
Is there any identification assumption for IV?
I am asking this because I know there are IA's for cross sectional estimators and D-in-D estimators, but am unsure if there are any for IV estimation. Does anyone know if there is or isn't, and if ...
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1answer
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Being totally stuck at my master thesis: cant figure out this 3 equation SEM
I got smth which looks like this
$y_1 = \alpha_1\cdot y_2 + \alpha_2\cdot y_3 + X\cdot\alpha_3 + u_1$
$y_2 = \beta_1\cdot y_1 + \beta_2\cdot y_3 + X\cdot\beta_3 + u_2$
$y_3 = \gamma_1\cdot y_1 + ...
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0answers
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De-meaning data in mixed process model?
I want to run a fixed effects IV regression that is also a mixed process model. If I use the linear FE-IV estimator, I am assuming linearity, which I don't want to do. However, I do not have a ...
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3answers
403 views
Random assignment: why bother?
Random assignment is valuable because it ensures independence of treatment from potential outcomes. That is how it leads to unbiased estimates of the average treatment effect. But other assignment ...
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3answers
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Formal definition of random assignment
I am looking for a formal definition of random assignment.
Let $\mathbf{Z}$ be a vector of treatment assignments in which each element is 0 (unit not assigned to treatment) or 1 (unit assigned to ...
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0answers
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Linearity and ordinal variables in nonparametric setting
I am using the np package in R with the npregiv command. The program is in beta, and I cannot call ordered(var) on one of my instruments (a bug in the program I am ...
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0answers
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About Identification in a 3 equation SEM
I got this example and I was wondering about a certain statement:
$$
\begin{aligned}
y_1 &= \alpha_{12}y_2 + \alpha_{13}y_3 + \beta_{11}z_1 + u_1 \\
y_2 &= \alpha_{21}y_1 + \beta_{21}z_1 + ...
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1answer
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How do I identify this simultaneous equations model?
I have the following model (which is in this form is not identifiable if the $y$'s are indeed endogenous):
(1) $y_1 = a_0 + a_1y_2 + a_2y_3 + \boldsymbol{Xa} + \boldsymbol{u}$
(2) $y_2 = b_0 + ...
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Average Structural Function Calculation
EDIT: I have solved this problem myself. The problem with the simulation below is that the omitted variable should not be included in the 'true model'. I have written a blog post with a more detailed ...
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2answers
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Instrumental variables with dichotomous instrument, variable, and outcome? Can I use TSLS?
Say I have a binary treatment, X, and I'm interested in its (local average treatment) effect on a binary outcome variable, Y. I find (binary) instrument T that directly affects X but not Y.
How do I ...
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1answer
162 views
Asymptotic Efficiency of Two-Stage Least Squares
Apparently Wooldridge, Introductory Econometrics, 2002ed is the only book showing that two-stage least squares (2SLS) is asymptotically efficient. I cannot get a copy of the proof.
Is it correct to ...
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2answers
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Identifying instrumental variables for structural model
This question is about finding valid instrumental variables.
Variables are:
the response variable for the structural equation, $y$
the jointly endogenous RHS variable in the structural equation, ...
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1answer
103 views
Endogeneity without correlation?
Is it, in general, possible that two variables are endogenous even if they are not correlated with each other at all?
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1answer
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Endogenous instruments in IV 2SLS regression in Stata
If I am looking at an ivreg2 equation where:
ivreg2 y1 x2 x3 x4 (x1 = x5 x6)
and I know that ...
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2answers
544 views
Why don't my two-stage least squares results make sense?
I used SPSS 19's 2SLS procedure (which is very straightforward, with almost no optional specifications) to predict Y from X after X was predicted based on I, an instrumental variable. Then I tried to ...
2
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1answer
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Imputing/instrumenting for missing variables in a case-control study
I'm combining two surveys in a case-control design. Survey B is drawn from the "case" population, and includes all the variables I need for analysis, plus some extras. Survey A samples a general ...
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1answer
2k views
Proxy variables versus instrumental variables
Very short question. What exactly is the difference between an instrumental variable and a proxy variable when building a regression model?
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1answer
614 views
Why is Stata automatically converting regressors to instrumental variables in ivprobit model?
I am running ivprobit in Stata to look at the determinants of enrolment in health insurance (cbhi). I have several exogenous regressors and one endogenous regressor ...
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4answers
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What is the difference between effectiveness and efficacy in determining the benefit of therapy 'A' on condition 'B'?
The context of this question is within a health framework i.e. looking at one or more therapies in the treatment of a condition.
It appears that even well respected researchers confuse the terms ...
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3answers
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Why use a lagged DV as an instrumental variable?
I have inherited some data analysis code that, not being an econometrician, I am struggling to understand. One model runs an instrumental variables regression with the following STATA command
...
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3answers
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What is an instrumental variable?
Instrumental variables are becoming increasingly common in applied economics and statistics. For the uninitiated, can we have some non-technical answers to the following questions:
What is an ...
