I am running af 2sls model with panel data where I on average have 6 observation for each individual. In that regard I am construction an instrument set, but I am not sure I om doing it in the correct way. I run two regressions only on the initial period for each individual as the information for my instruments only is available for the first observation of each individual. The residuals from these regressions then becomes my instrumental variables. The problem is then I only have instrumental variables for first observations for each individual and I need for every observation. As you can see in the data I have attached what I am doing know is taking the first regression residuals and using for all observations. Is this legal? and do anyone know what the correct approach is to this problem?
Thank you very much in advance
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double(Prob_work_past_62 Prob_work_past_65) float(Mother_age_at_death Dad_age_at_death resid resid1 under_age_62 age_62_65 resid_times_under_age_62 resid_times_between_age_62_65) 100 100 75 80 52.21634 73.19397 1 0 52.21634 0 0 0 . . 52.21634 73.19397 1 0 52.21634 0 100 100 . . 52.21634 73.19397 1 0 52.21634 0 90 70 . . 52.21634 73.19397 0 1 0 73.19397 . . . . 52.21634 73.19397 0 1 0 73.19397 . . . . 52.21634 73.19397 0 0 0 0 . . . . 52.21634 73.19397 0 0 0 0 . . . . 52.21634 73.19397 0 0 0 0 . . . . 52.21634 73.19397 0 0 0 0 . . . . 52.21634 73.19397 0 0 0 0 100 100 69 53 42.85693 67.67946 1 0 42.85693 0 100 100 . . 42.85693 67.67946 1 0 42.85693 0 100 100 . . 42.85693 67.67946 1 0 42.85693 0 . . . . 42.85693 67.67946 0 1 0 67.67946 . . . . 42.85693 67.67946 0 1 0 67.67946 . . . . 42.85693 67.67946 0 1 0 67.67946 . . . . 42.85693 67.67946 0 0 0 0 . . . . 42.85693 67.67946 0 0 0 0 . . . . 42.85693 67.67946 0 0 0 0 100 80 50 66 44.70567 49.12651 1 0 44.70567 0 95 85 . . 44.70567 49.12651 1 0 44.70567 0 100 80 . . 44.70567 49.12651 1 0 44.70567 0 . . . . 44.70567 49.12651 0 1 0 49.12651 . . . . 44.70567 49.12651 0 1 0 49.12651 . . . . 44.70567 49.12651 0 0 0 0 . . . . 44.70567 49.12651 0 0 0 0 . . . . 44.70567 49.12651 0 0 0 0 . . . . 44.70567 49.12651 0 0 0 0 90 50 0 74 43.94625 22.839033 1 0 43.94625 0 100 50 . . 43.94625 22.839033 1 0 43.94625 0 80 70 . . 43.94625 22.839033 1 0 43.94625 0 90 90 . . 43.94625 22.839033 1 0 43.94625 0 80 80 . . 43.94625 22.839033 1 0 43.94625 0 . 100 . . 43.94625 22.839033 0 1 0 22.839033 . 100 . . 43.94625 22.839033 0 1 0 22.839033 . . . . 43.94625 22.839033 0 0 0 0 . . . . 43.94625 22.839033 0 0 0 0 40 0 82 45 -17.016924 -32.73683 1 0 -17.016924 0 . . . . -17.016924 -32.73683 1 0 -17.016924 0 . . . . -17.016924 -32.73683 1 0 -17.016924 0 . . . . -17.016924 -32.73683 0 1 0 -32.73683 . . . . -17.016924 -32.73683 0 0 0 0 . . . . -17.016924 -32.73683 0 0 0 0 . . . . -17.016924 -32.73683 0 0 0 0 . . . . -17.016924 -32.73683 0 0 0 0 . . . . -17.016924 -32.73683 0 0 0 0 80 20 0 0 22.37574 -16.85536 1 0 22.37574 0 85 20 . . 22.37574 -16.85536 1 0 22.37574 0 0 0 . . 22.37574 -16.85536 1 0 22.37574 0 0 0 . . 22.37574 -16.85536 0 1 0 -16.85536 . . . . 22.37574 -16.85536 0 1 0 -16.85536 . . . . 22.37574 -16.85536 0 1 0 -16.85536 . . . . 22.37574 -16.85536 0 0 0 0 . . . . 22.37574 -16.85536 0 0 0 0 20 0 0 52 -28.805786 -30.038923 1 0 -28.805786 0 0 0 . . -28.805786 -30.038923 1 0 -28.805786 0 0 0 . . -28.805786 -30.038923 1 0 -28.805786 0 0 0 . . -28.805786 -30.038923 1 0 -28.805786 0 . . . . -28.805786 -30.038923 0 1 0 -30.038923 10 0 71 73 -41.62628 -26.359983 1 0 -41.62628 0 2 0 . . -41.62628 -26.359983 1 0 -41.62628 0 . . . . -41.62628 -26.359983 0 1 0 -26.359983 . . . . -41.62628 -26.359983 0 1 0 -26.359983 . . . . -41.62628 -26.359983 0 0 0 0 . . . . -41.62628 -26.359983 0 0 0 0 . . . . -41.62628 -26.359983 0 0 0 0 . . . . -41.62628 -26.359983 0 0 0 0 . . . . -41.62628 -26.359983 0 0 0 0 10 0 0 70 -37.60967 -25.504025 1 0 -37.60967 0 0 0 . . -37.60967 -25.504025 1 0 -37.60967 0 0 0 . . -37.60967 -25.504025 1 0 -37.60967 0 . . . . -37.60967 -25.504025 0 1 0 -25.504025 . . . . -37.60967 -25.504025 0 1 0 -25.504025 100 90 0 66 50.56738 60.01219 1 0 50.56738 0 100 95 . . 50.56738 60.01219 1 0 50.56738 0 95 85 . . 50.56738 60.01219 1 0 50.56738 0 100 85 . . 50.56738 60.01219 1 0 50.56738 0 . 95 . . 50.56738 60.01219 0 1 0 60.01219 . . . . 50.56738 60.01219 0 1 0 60.01219 . . . . 50.56738 60.01219 0 0 0 0 . . . . 50.56738 60.01219 0 0 0 0 50 50 0 70 -3.319559 17.950354 1 0 -3.319559 0 . . . . -3.319559 17.950354 1 0 -3.319559 0 . . . . -3.319559 17.950354 1 0 -3.319559 0 . . . . -3.319559 17.950354 0 1 0 17.950354 . . . . -3.319559 17.950354 0 1 0 17.950354 . . . . -3.319559 17.950354 0 0 0 0 . . . . -3.319559 17.950354 0 0 0 0 . . . . -3.319559 17.950354 0 0 0 0 70 10 0 83 19.40187 -18.756739 1 0 19.40187 0 . . . . 19.40187 -18.756739 1 0 19.40187 0 . . . . 19.40187 -18.756739 1 0 19.40187 0 . . . . 19.40187 -18.756739 1 0 19.40187 0 . . . . 19.40187 -18.756739 0 0 0 0 . . . . 19.40187 -18.756739 0 0 0 0 . . . . 19.40187 -18.756739 0 0 0 0 . . . . 19.40187 -18.756739 0 0 0 0 20 20 0 0 -31.20806 -11.840034 1 0 -31.20806 0 20 20 . . -31.20806 -11.840034 1 0 -31.20806 0 75 50 . . -31.20806 -11.840034 1 0 -31.20806 0 end
0 Response to Instrument set from initial period regression
Post a Comment