{"id":1290,"date":"2022-02-14T13:00:24","date_gmt":"2022-02-14T12:00:24","guid":{"rendered":"https:\/\/microdata.spirehost.no\/?post_type=eksempel&p=1290"},"modified":"2023-08-18T13:31:06","modified_gmt":"2023-08-18T12:31:06","slug":"using-instrument-variables-in-regression-analysis","status":"publish","type":"eksempel","link":"https:\/\/www.microdata.no\/en\/eksempel\/using-instrument-variables-in-regression-analysis\/","title":{"rendered":"Using instrument variables in regression analysis"},"content":{"rendered":"\n

The command ivregress<\/code> can be used to specify instrument variables. This is applicable if you have a hypothesis that multicollinearity exists (correlation between at least two of the independent variables). You define instrument variables inside the parenthesis expression. In the example below, the instrument variable wealth_high<\/em> is used, and the instrument age<\/em>. But you can use as many instruments as you like. E.g. if you think that place of residence (= Oslo) also affects the amount of wealth, you can use the parenthetical expression(wealth_high = age oslo<\/code>). But in principle, ivregress<\/code> treats all independent variables as instruments, except for the instrument variable.<\/p>\n\n\n

\n
require no.ssb.fdb:23 as db\r\n\r\ncreate-dataset ivtest\r\n\r\nimport db\/INNTEKT_WLONN 2021-12-31 as wage\r\nimport db\/BEFOLKNING_FOEDSELS_AAR_MND as birth_year_month\r\n\r\ngenerate age = 2020 - int(birth_year_month \/100)\r\ndrop if age < 18 | age > 60\r\n\r\nimport db\/BEFOLKNING_KJOENN as gender\r\ngenerate male = 0\r\nreplace male = 1 if gender == '1'\r\n\r\nimport db\/INNTEKT_BRUTTOFORM 2020-12-31 as wealth\r\ngenerate wealth_high = 0\r\nreplace wealth_high = 1 if wealth > 1500000\r\n\r\n\/\/First run a regular linear regression\r\nregress wage age male wealth_high\r\n\r\n\/\/Suspects a correlation between age and wealth. Use a model with a instrument variable (wealth_high)\r\nivregress wage male (wealth_high = age)\r\n\r\n\/\/In addition to comparing the two results, a check is performed for multicollinearity and normaldistributed residuals\r\ncorrelate wealth_high age\r\nregress-predict wage age male wealth_high, residuals(res1)\r\nivregress-predict wage male (wealth_high = age), residuals(res2)\r\n\r\nhistogram res1\r\nhistogram res2<\/code><\/pre>\n<\/div>","protected":false},"parent":0,"menu_order":118,"template":"","meta":{"_acf_changed":false,"inline_featured_image":false,"_kad_blocks_custom_css":"","_kad_blocks_head_custom_js":"","_kad_blocks_body_custom_js":"","_kad_blocks_footer_custom_js":"","_kad_post_transparent":"","_kad_post_title":"","_kad_post_layout":"","_kad_post_sidebar_id":"","_kad_post_content_style":"","_kad_post_vertical_padding":"","_kad_post_feature":"","_kad_post_feature_position":"","_kad_post_header":false,"_kad_post_footer":false,"_kad_post_classname":""},"class_list":["post-1290","eksempel","type-eksempel","status-publish","hentry"],"acf":[],"yoast_head":"\nUsing instrument variables in regression analysis - microdata.no<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.microdata.no\/eksempel\/bruk-av-instrumentvariabel-i-regresjonsanalyse\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Using instrument variables in regression analysis - microdata.no\" \/>\n<meta property=\"og:description\" content=\"The command ivregress can be used to specify instrument variables. 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