Hi,
I am designing an instrumental variable svar analysis and my instrument is likely associated with the outcome through both endogenous and exogenous (seasonality) measured confounders.
I am not sure if I can control for this by including my endogenous confounder as a dependent variable and months of the year as exogenous dummies? I would control for measured confounders in a typical IV analysis, but I have seen some information suggesting that the instrument has to be exogenous in IVSVAR. I have not been able to figure it out myself from the command documentation.
There is also some risk that lags of my target shock variable predict the instrument. Will lags of the target shock variable be included in the equation for the instrument?
Thank you for your help.
I am designing an instrumental variable svar analysis and my instrument is likely associated with the outcome through both endogenous and exogenous (seasonality) measured confounders.
I am not sure if I can control for this by including my endogenous confounder as a dependent variable and months of the year as exogenous dummies? I would control for measured confounders in a typical IV analysis, but I have seen some information suggesting that the instrument has to be exogenous in IVSVAR. I have not been able to figure it out myself from the command documentation.
There is also some risk that lags of my target shock variable predict the instrument. Will lags of the target shock variable be included in the equation for the instrument?
Thank you for your help.
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