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Re: -nestreg- (was: st: saving a sample after a regression)
Michael S. Hanson <firstname.lastname@example.org> expressed an interested in getting
-nestreg- to support a command:
> So I am very intrigued by -nestreg- as mentioned by Richard: I am
> working on an application right now that could benefit from this tool.
> Looking in the on-line help, it does not support the estimation
> commands I am interested in using (newey or ivreg), but I notice that
> it is possible to write one's own programs to run with -nestreg-.
> Great! Unfortunately, the documentation for doing so does not appear
> to exist; my copies of the version 9 [R] manuals has no entry for
> -nestreg- -- as indicated in the on-line help file, which says
> "forthcoming". The on-line help also makes reference to using -sw- or
> -swml- as -program- properties for the user-written program.... But
> neither the on-line help nor the manuals have turned up any information
> on such properties (although I concede I may have missed them).
> So, can anyone recommend further information about implementing
> user-written commands with -nestreg-? Thanks!
Program properties are documented in -[P] program properties-, which is also
present in the online help. In Stata type
. help program properties
Note that the paretheses in -ivreg-'s varlist syntax are in conflict with the
standard syntax required by -nestreg-. Here is a simple wrap-around routine
for -ivreg- that allows you to fix the instrumental variables when it is
prefixed with -nestreg-:
program myivreg, prop(sw)
syntax [varlist] [if] [in] [aw fw iw pw] [, ivlist(string) *]
ivreg `varlist' (`ivlist') ///
`if' `in' [`weight'`exp'], `options'
In -myivreg-, all we really did was provide the standard syntax and the -sw-
program property; -ivreg- handles all the other things like -e(b)-, -e(V)-,
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