Dear All,
I would like to carry out a 3SLS-Estimation step by step, but I have
problems withe the third stage:
** Using the following textbook-data for instance:
use http://fmwww.bc.edu/ec-p/data/wooldridge/MROZ, clear
drop if lwage==.
** I woudl like to replicate this estimation:
reg3 (hours lwage educ age kidslt6 nwifeinc) (lwage hours educ exper
expersq)
* My Procedure is the folllowing:
* 1. Stages
reg hours exper expersq educ age kidslt6 nwifeinc
predict pred_hours
reg lwage exper expersq educ age kidslt6 nwifeinc
predict pred_lwages
* 2. Stages
ivreg hours pred_lwage educ age kidslt6 nwifeinc
predict pred2_hours
gen resid2_hours = hours - pred2_hours
gen resid2_hours2 = resid2_hours^2
ivreg lwage pred_hours educ exper expersq
predict pred2_lwage
gen resid2_lwage= lwage - pred2_lwage
gen resid2_lwage2= resid2_lwage^2
* 3. Stage
mkmat resid2_hours2 resid2_lwage2, matrix(w)
*...can I apply now a SURE estimation?
*...What is the right procedure?
* Any proposals? Thanks in advance.
Martin Halla
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Martin HALLA
Department of Economics
Johannes Kepler Universiy Linz
Altenbergerstr. 69
A-4040 Linz, Austria
[email protected]
Tel.: +43-732-2468-8219
Fax: +43-732-2468-2-8219
http://www.econ.jku.at/
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