Question about IV regression and instruments
Posted: Tue Dec 20, 2011 3:16 am
Hi,
I have 2 endogenous variables and 2 instruments. Can I use both instruments for both endogenous variables? If the 2 IV conditions are fulfilled, I assume I can because the endogenous variables are not under identified. What is worrying me a bit is that I can't say "instrument 1 is for endogenous variable 1, and instrument 2 is for endogenous variable 2" (i.e. they are both determinant of both endogenous variables).
I have 2 endogenous variables and 2 instruments. Can I use both instruments for both endogenous variables? If the 2 IV conditions are fulfilled, I assume I can because the endogenous variables are not under identified. What is worrying me a bit is that I can't say "instrument 1 is for endogenous variable 1, and instrument 2 is for endogenous variable 2" (i.e. they are both determinant of both endogenous variables).