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From |
"Luis Fernandes Rodrigues" <nop44660@netcabo.pt> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Re: Re: ivreg2 use |

Date |
Wed, 6 Aug 2003 18:38:47 +0100 |

Hello Kit In the end of your reply you stressed that a version of ivreg2 is currently under development which will provide 'ivgmmN', allowing for arbitrary heteroskedasticity and serial correlation in the error process. This will be a enormous help for the research four which I need to go frequently out of Stata. Do you know something more about its availability or other GMM procedures already available? Thanks Luis ----- Original Message ----- From: "Christopher F Baum" <baum@bc.edu> To: <statalist@hsphsun2.harvard.edu> Sent: Wednesday, August 06, 2003 12:24 PM Subject: st: Re: ivreg2 use > On Wednesday, August 6, 2003, at 02:33 AM, Busakom wrote: > > > > > I have two simultaneous equations: > > > > (1) y1 = a0*y2 + a1*x1 + a2*x2 + a3*x3 + e > > (2) y2 = b0*y1 + b1*z1 + b2*z2 + b3*z3 + u > > > > The variables are first-differences. As I understand, > > I can perform 2SLS by using ivreg2: > > > > ivreg2 y1 x1 x2 x3 (y2 = z1 z2 z3) > > > > My problem is slightly more complicated than this. > > What if, in each equation, there is a lag dependent > > variable: > > > > (3) y1 = a0*y2 + a1*x1 + a2*x2 + a3*x3 + a4*Ly1 + e > > (4) y2 = b0*y1 + b1*z1 + b2*z2 + b3*z3 + b4*Ly2 + u > > > > Here, Ly1 is correlated with e, and Ly2 is correlated > > with u. I plan to instrument Ly1 with L2y1 > > (two-period lag of y1) and Ly2 with L2y2 (two-period > > lag of y2). > > > > I believe I can still use ivreg2 to deal with this > > problem. My question is whether the following command > > syntax is correct? > > > > ivreg2 y1 x1 x2 x3 (y2 Ly1 Ly2 = z1 z2 z3 L2y1 L2y2) > > > > And is -ivreg2, gmm- is the same as -ivgmm0-? > > Almost correct. You should disabuse yourself of the notion that "this > is an instrument for that"; as frequently mentioned on this list and in > the cited Stata FAQ, instrumental variables estimators do not work that > way. All of the Z variables are instruments for all of the included Y > variables. That said, what about your proposed regression? > > Your first equation contains regressors y2, x1-x3, and Ly1. It does not > contain Ly2, so Ly2 should not be present in the included endogenous > list to the left of the equals sign, or it will appear as a regressor > in the equation, which presumably it should not. The instrument list is > correct, if your assertion that the second lags are orthogonal to e and > u is warranted. This can be tested with a diff-Sargan test (ivreg2 > orthog option). Note that ivreg2 will report that the instruments > include x1, x2, x3 plus those you have specified (and constant) -- and > that is correct. The included exogeneous variables are indeed > instruments as well. > > ivreg2, gmm is essentially the same estimator as the earlier ivgmm0. A > version of ivreg2 is currently under development which will provide > 'ivgmmN' -- that is, allowing for arbitrary heteroskedasticity and > serial correlation in the error process. ivgmm0 (and its implementation > within ivreg2) only allows for the former. > > Kit > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Re: Re: ivreg2 use***From:*Mark Schaffer <M.E.Schaffer@hw.ac.uk>

**References**:**st: Re: ivreg2 use***From:*Christopher F Baum <baum@bc.edu>

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