Dear Listers,

I read a research paper using industry median as instrument to deal with endogeneity issue. however, it did not present regression results, so I want to ask if someone can share an example how this is done.

to clarify, say the study is to examine the effect of firm size (x) on stock return variability (y) , then they use firms' industry median firms size (call it med_x) as instrument to predict y .

if i use

Code:
ivregress 2sls y  other controls  ( predicted x =med_x)

not sure what goes into the ( predicted x =med_x)

can you help ?

Thanks !

Rochelle