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RE: RE: st: Constraints for simultaneous equations model


From   Beat Hintermann <bhintermann@arec.umd.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: RE: st: Constraints for simultaneous equations model
Date   Wed, 16 Apr 2008 23:58:23 -0400

Bob

Imagine you have to specify several hundred constraints like that. Instead of writing them down one by one I'm looking for a way to do this in matrix notation. But maybe that's just not possible in Stata. I can always program it by hand in Matlab.

Beat
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert A Yaffee [bob.yaffee@nyu.edu]
Sent: Wednesday, April 16, 2008 9:49 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: RE: st: Constraints for simultaneous equations model

Beat,
   Suppose you have reg3 (y1 y2 x1 x2 x3) (y2 y1 x1 x2 x3) and you
want to drop out x1 from the first y1 equation, you could specify this as follows:

constraint 1 [x1] y1 = 0
reg3 (y1 y2 x1 x2 x3) (y2 y1 x1 x2 x3) , 3sls constr(1)

This sets up the constraint of x1 = 0.

        Bob Yaffee


Robert A. Yaffee, Ph.D.
Research Scientist
Silver School of Social Work
New York University


----- Original Message -----
From: Beat Hintermann <bhintermann@arec.umd.edu>
Date: Wednesday, April 16, 2008 9:33 pm
Subject: RE: st: Constraints for simultaneous equations model
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>


> I wasn't using anything specific yet, but probably will end up using reg3.
>
> In any case, I'm aware of the conditions necessary for identification.
> My system will end up being over-identified because I have a whole lot
> of exclusion restrictions. My problem is how to enter these
> restrictions in a reasonably efficient way. My system actually
> contains over 300 equations, not the 10 I used in the example, so
> typing them in individually is simply unfeasible.
>
>
> ________________________________________
> From: owner-statalist@hsphsun2.harvard.edu
> [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert A Yaffee [bob.yaffee@nyu.edu]
> Sent: Wednesday, April 16, 2008 9:26 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Constraints for simultaneous equations model
>
> Beat,
>     Are you using reg3?   You need to check to be sure the rank condition
> is satisfied.
>           Regards,
>               Bob Yaffee
>
>
> Robert A. Yaffee, Ph.D.
> Research Scientist
> Silver School of Social Work
> New York University
>
>
> ----- Original Message -----
> From: Beat Hintermann <bhintermann@arec.umd.edu>
> Date: Wednesday, April 16, 2008 6:22 pm
> Subject: st: Constraints for simultaneous equations model
> To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
>
>
> > I wonder whether there is an efficient way to define constrains for
> a
> > simultaneous equation model.
> >
> > For example, assume I have 10 endogenous variables. For identification
> > purposes I need to place at least 9*10/2=45 restrictions on the
> > parameters. Is there a way to do this in matrix form, as opposed to
> > defining 45 individual constraints?
> >
> > Any help much appreciated
> >
> > Beat
> >
> > *
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