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st: RE: accessing first stage results in xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: accessing first stage results in xtivreg2
Date   Thu, 8 Feb 2007 22:04:06 -0000

cadii,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Craig A. Depken, II
> Sent: 08 February 2007 21:50
> To: statalist@hsphsun2.harvard.edu
> Subject: st: accessing first stage results in xtivreg2
> 
> I am frustrated in searching the FAQ for the answer to my question. 
> If I have missed the relevant post, I apologize.
> 
> I am estimating a linear model in xtivreg2 with the following 
> structure
> 
> xtivreg2 y1 (y2 = z1 z2) x1-x10;
> 
> I want to calculate the net impact of a change in, say, x2 on 
> y1, e.g.,
> 
> dy1/dx2 = (a2) *g2 + b2
> 
> where a2 is the parameter estimate of x2 in the first stage 
> regression, g2 is the parameter estimate on x2 from the 
> second stage regression, and b2 is the parameter estimate on 
> x2 in the second stage regression.
> 
> The results of the first-stage regression can be viewed using 
> the `first' option in xtivreg2, but is it possible to access 
> the results from the first-stage regression for use in a 
> lincom command? 
> Specifically, I want to calculate the point estimate and 95% 
> confidence interval of the net impact of x2 on y1. From what 
> I have been able to clean from the manuals, the results of 
> the first-stage are dropped.

You can save the first stage results using the -savefirst- option.  Then
use -estimates restore- to make these the current estimates.  -lincom-
should then do what you want it it, i.e., work with the first stage
results.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes


> 
> Thanks in advance,
> 
> cadii
> 
> =========================
> Craig A. Depken, II
> Department of Economics
> University of Texas at Arlington
> Arlington, TX 76019
> 
> 
> 
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