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

To |
statalist@hsphsun2.harvard.edu, "Mooi, E.A. (Erik)" <emooi@feweb.vu.nl> |

Subject |
Re: st: reg3 and estimation problem |

Date |
Mon, 17 May 2004 13:41:32 +0100 (BST) |

Erik, Quoting "Mooi, E.A. (Erik)" <emooi@feweb.vu.nl>: > Dear Statalisters, > > I would like to estimate a model using the reg3 procedure. I have > two equations, one where performance is dependent upon > innovativeness and 8 other variables, and innovativeness which is > dependent upon the same 8 variables. It looks like you have an identification problem. You have 2 endogenous variables (faa and fab), each with its own equation, and 8 exogenous variables. Both the faa and the fab equation have 9 regressors, one endogenous and 8 exogenous. Your structural model has 2x9=18 structural coefficients. If you write the model in reduced form with just exogenous variables on the RHS, you have 2 RF equations x 8 exogenous regressors = 16 RF coefficients. 18 > 16, so the model is underidentified. Each equation taken individually is also underidentified, because you don't have any exogenous variables that are excluded from either of the equations. What you need are some exclusion restrictions that identify the model. For example, if fak were a regressor in the fab eqn but not the faa equation, you could use it as an excluded instrument for fab; the faa equation would be identified and estimable [estimatable?] using single- equation IV. To estimate the system using 3SLS, you would also need at least one exclusion restriction that identifies the fab equation as well. --Mark > The instruments at my disposal > are theoretically not very good. > > Thus using the 3SLS estimation procedure does not appear to be a > very good option. OLS is technically possible but since the errors > are correlated in the model described above the OLS assumptions are > violated. Doe anyone know of a way to estimate the problem described > above? > > Regards, > > Erik A. Mooi > > PS: the stata model is: reg3 (faa = fab fac fae faf fag fah fai faj2 > fak) (fab = faa fac fae faf fag fah fai faj2 fak), nodfk corr > (unstructured) ols where faa is performance and fab > innovativeness. > > > > Vrije Universiteit Amsterdam > Faculty of Economics and Business Administration > Department of Marketing > De Boelelaan 1105 > 1081 HV Amsterdam > The Netherlands > Tel: 031204449862 > Fax: 031204446005 > http://staff.feweb.vu.nl/emooi/ > > * > * 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: reg3 and estimation problem***From:*"Mooi, E.A. (Erik)" <emooi@feweb.vu.nl>

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