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RE: st: reg3


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: reg3
Date   Mon, 22 Nov 2004 14:24:58 -0000

Rajdeep,

This was answered on Statalist not long ago:

http://www.stata.com/statalist/archive/2004-09/msg00234.html

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.

Cheers,
Mark

From:           	PATGIRI Rajdeep <Rajdeep.PATGIRI@insead.edu>
To:             	statalist@hsphsun2.harvard.edu
Subject:        	RE: st: reg3
Date sent:      	Mon, 22 Nov 2004 10:48:15 +0100
Send reply to:  	statalist@hsphsun2.harvard.edu

> 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,
> Rajdeep
> 
> 
> -----Original Message-----
> From: Mark Schaffer [mailto:M.E.Schaffer@hw.ac.uk] 
> Sent: Sunday, November 21, 2004 5:01 PM
> To: statalist@hsphsun2.harvard.edu; PATGIRI Rajdeep
> Cc: 'statalist@hsphsun2.harvard.edu'
> 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.
> 
> --Mark
> 
> > 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
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

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