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From |
Valerie Orozco <Valerie.Orozco@toulouse.inra.fr> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: endogeneous variables with nlsur |

Date |
Fri, 11 Apr 2008 10:09:47 +0200 |

Hi, like nobody answered to my question, I wonder if I was really clear. I want to estimate a system of nonlinear equations with nlsur and I have some variables which are endogeneous. I woul like to instrument them but I don't know how to succeed in it with "nlsur". I wonder if a two steps method is the only way to do and if so how to correc the standard errors resulting from my 2sls instrumentation. Thank you very much. valérie ------------------------------- Valérie OROZCO Toulouse School of Economics (INRA-GREMAQ) 21, allée de Brienne F-31000 Toulouse, France MF 426 +33 5 61 12 85 91 ________________________________________ De : Valerie Orozco Date d'envoi : mercredi 9 avril 2008 15:54 À : statalist@hsphsun2.harvard.edu Objet : st : endogeneous variables with nlsur and reg3 Hello, I 'm estimating a system of equations with nlsur. I have some variables that are endogeneous and I would like to instrument them. I don't know if it is possible or not, thanks to nlsur or by hand... If I can add one equation (the instrumentation one) to the nlsur command, it would be easy. Another idea I had, was to estimate in two steps (first the instrumentation equation, then taking the predicted value and put it in the general equation...but I will probably have a problem with the standard errors.) Like I know how to deal with endogeneity with reg3 (with linear equations), I made some comparisons between reg3 and nlsur... /*****************************************************/ /*1st comparison : without any endogeneous variable*/ /*****************************************************/ nlsur (w1 = {c1} + {b01}*X1 + {b11} * lnp1 + {b21} * lnp2 ) reg3(w1 X1 lnp1 lnp2 ) --> nlsur and reg3 give same results /*****************************************************/ /*2nd comparison : one variable is endogeneous (suppose it is lnp1)*/ /*****************************************************/ reg3(w1 X1 lnp1 lnp2),endog(lnp1) exog(Z1 Z2) nlsur (w1 = {c1} + {b1}*X1 + {bp1} * lnp1 + {bp2} * lnp2 ) /// (lnp1 = {c2} + {z1}*Z1 +{z2}*Z2 +{x1}*X1 + {l2}*lnp2 ) --> not the same coefficients, nor the standard errors /*****************************************************/ /*3rd comparison : */ /*****************************************************/ reg3(w1 X1 lnp1 lnp2), endog(lnp1) exog(Z1 Z2) quietly reg lnp1 Z1 Z2 X1 lnp2 predict lnp1hat, xb reg3 (w1 X1 lnp1hat lnp2) or nlsur (w1 = {c1} + {b1}*X1 + {bp1} * lnp1hat + {bp2} * lnp2 ) --> same coefficients, problem with the standard errors So, is someone able to help me to apply the best method to instrument endogeneous variables with nlsur? If I use 2 steps, how can I recover the true standard errors? Thank you very much. Valérie ------------------------------- Valérie OROZCO Toulouse School of Economics (INRA-GREMAQ) 21, allée de Brienne F-31000 Toulouse, France MF 426 +33 5 61 12 85 91 ------------------------------- * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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