Dear Statalist users,
I am working with multilevel data using the xtmixed command. I have observations nested in individuals (ID) nested in teams (TeamID). It is not panel data. My model has a quadratic term.
I am considering that my independent variable (IV) could be endogenous, which is why I would like to run an instrumental-variables regression. I have used the Two Stage Least Squares (2SLS)
approach before using the ivreg2 command in Stata. Following this approach, I would run the following:
(any comment on whether I instrumented the quadratic term correctly is highly appreciated, too)
However, I suspect that my multilevel data violates assumptions of the estimator. The between-group variation in my data is quite high (ICC=0.29). So my question is: Is there any specific command in Stata to run an instrumental-variables regression with multilevel data? I would highly appreciate any advice.
I am working with multilevel data using the xtmixed command. I have observations nested in individuals (ID) nested in teams (TeamID). It is not panel data. My model has a quadratic term.
Code:
xtmixed DV IV IV2 || TeamID: || ID: , mle cov(unstr)
approach before using the ivreg2 command in Stata. Following this approach, I would run the following:
Code:
ivreg2 DV IV IV2 (IV IV2 = Instrument Instrument2) , first endog(IV)
However, I suspect that my multilevel data violates assumptions of the estimator. The between-group variation in my data is quite high (ICC=0.29). So my question is: Is there any specific command in Stata to run an instrumental-variables regression with multilevel data? I would highly appreciate any advice.
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