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RE: st: reg3
This was answered on Statalist not long ago:
The answer is "no, but", the "but" being that estimating the
equations separately by ivreg or ivreg2 still allows you to test the
orthogonality conditions - just not all at once.
From: PATGIRI Rajdeep <Rajdeep.PATGIRI@insead.edu>
Subject: RE: st: reg3
Date sent: Mon, 22 Nov 2004 10:48:15 +0100
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> Following up from my previous email about "reg3", is there any way to check
> for overidentifying restrictions after reg3? The "overid" module that I
> know of is available only after ivreg and ivreg2 estimations.
> And thanks a lot to those people who replied to my previous email.
> Best regards,
> -----Original Message-----
> From: Mark Schaffer [mailto:M.E.Schaffer@hw.ac.uk]
> Sent: Sunday, November 21, 2004 5:01 PM
> To: firstname.lastname@example.org; PATGIRI Rajdeep
> Cc: 'email@example.com'
> Subject: Re: st: reg3 with Probit
> Quoting PATGIRI Rajdeep <Rajdeep.PATGIRI@insead.edu>:
> Omar Keshk's -cdsimeq- sounds like it might do what you want. The
> alternative is to estimate equation-by-equation, e.g., -ivprob- for your
> endogenous dependent variable and -ivreg- (or -ivreg2-) for the others.
> Hope this helps.
> > Hello,
> > I am trying to run a system of simultaneous equations, but one of the
> > regression equation is a binary dependent variable model, i.e. Probit.
> > Is it possible in any way to incorporate into the "reg3" module of
> > Stata? I am currently generating the predicted probabilities from the
> > probit model first, and then replacing this as dependent variable in
> > the probit model and
> > run a least square. But I think the standard errors in here are not
> > exactly reliable.
> > Thanks for any input.
> > Best regards,
> > Rajdeep
Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3485 CERT administrator
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