[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Mark Schaffer <M.E.Schaffer@hw.ac.uk> |

To |
statalist@hsphsun2.harvard.edu, Luis Fernandes Rodrigues <nop44660@netcabo.pt> |

Subject |
Re: st: Re: Re: ivreg2 use |

Date |
Wed, 06 Aug 2003 19:44:16 +0100 (BST) |

Luis, Quoting Luis Fernandes Rodrigues <nop44660@netcabo.pt>: > 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? If you contact me directly by email, I can send you a working beta version. It implements a variety of heteroskedastic and autocorrelation- robust (HAC) estimators for single-equation IV/GMM estimation using the Barlett (aka Newey-West), Parzen, Tukey-Hanning, quadratic spectral, or truncated kernels. It needs a couple of tweaks in the code that checks for collinearity between instruments and a revised help file, but is otherwise suitable for use (=testing) by a real user (=you). --Mark > > > > 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/ > Prof. Mark Schaffer Director, CERT Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS tel +44-131-451-3494 / fax +44-131-451-3008 email: m.e.schaffer@hw.ac.uk web: http://www.sml.hw.ac.uk/ecomes ________________________________________________________________ DISCLAIMER: This e-mail and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom it is addressed. If you are not the intended recipient you are prohibited from using any of the information contained in this e-mail. In such a case, please destroy all copies in your possession and notify the sender by reply e-mail. Heriot Watt University does not accept liability or responsibility for changes made to this e-mail after it was sent, or for viruses transmitted through this e-mail. Opinions, comments, conclusions and other information in this e-mail that do not relate to the official business of Heriot Watt University are not endorsed by it. ________________________________________________________________ * * 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/

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

**st: Re: Re: ivreg2 use***From:*"Luis Fernandes Rodrigues" <nop44660@netcabo.pt>

- Prev by Date:
**Re: st: Stata v SPSS output** - Next by Date:
**st: Problem with logit** - Previous by thread:
**st: Re: Re: ivreg2 use** - Next by thread:
**st: F value for logit, cluster()** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |