Automating the Selection of Model-Implied Instrumental Variables

Kenneth A. Bollen and Daniel J. Bauer

Sociological Methods & Research, 2004, vol. 32, issue 4, 425-452

Abstract: Recently, interest has grown in the use of instrumental variables (IVs) in estimating factor analysis and latent variable models such as structural equations models. Bollen (1996) suggested a two-stage least squares (2SLS) technique that makes use of model-implied IVs in estimating the measurement and latent variable models. Model-implied instrumental variables are the observed variables in the model that can serve as instrumental variables in a given equation. One difficulty inhibiting the practical use of the 2SLS estimator is identifying the model-implied IVs. The authors provide a simple procedure that identifies the model-implied IVs and a computer algorithm that can easily be implemented to automate the selection of IVs for simultaneous equations, factor analysis, and latent variable models.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:sae:somere:v:32:y:2004:i:4:p:425-452

DOI: 10.1177/0049124103260341

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