Carlos,
This happens in my field very frequently. If 2 IVīs are very highly correlated,
I believe the answer is, firstly, on the theory side, and secondly, on the
statistical side. In any event, I tend to use the most meaningful IV in terms
of causal mechanisms...
C
>-- Mensaje Original --
>Date: Sat, 6 Dec 2008 16:25:13 -0800
>Reply-To: Political Methodology Society <[log in to unmask]>
>From: Carlos Rodriguez <[log in to unmask]>
>Subject: [POLMETH] IVs and overidentification
>To: [log in to unmask]
>
>
>Hi everyone,
>
>Say I have two IVs but they are very highly correlated between
>themselves. Is it still useful to use both to instrument for the same
>endogenous regressor and then run overidentification tests, or should
>I just choose one of them given to intrument for the endogenous
>regressor (given that the two IVs are so highly correlated...perhaps
>this causes problesms?)?
>
>Thank you
>
>Good evening,
>Carlos Rodriguez
>
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