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RE: RE: st: Constraints for simultaneous equations model


From   Maarten buis <[email protected]>
To   [email protected]
Subject   RE: RE: st: Constraints for simultaneous equations model
Date   Thu, 17 Apr 2008 07:04:08 +0100 (BST)

I thought it was possible to define constraints in matrix format,
though I doubt it would be more convenient. The easiest way to define
that many constraints is in a -forvalues- loop. If you have that many
constraints than they probably follow some sort of system, and you can
make use of that in a loop. Are you very very sure that you have 300
equation? My first reaction to that is that you are doing something
very wrong, or you are trying to do something that can be achieved much
much more easily in another way.

-- Maarten

--- Beat Hintermann <[email protected]> wrote:

> 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: [email protected]
> [[email protected]] On Behalf Of Robert A Yaffee
> [[email protected]]
> Sent: Wednesday, April 16, 2008 9:49 PM
> To: [email protected]
> 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 <[email protected]>
> Date: Wednesday, April 16, 2008 9:33 pm
> Subject: RE: st: Constraints for simultaneous equations model
> To: "[email protected]" <[email protected]>
> 
> 
> > 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: [email protected]
> > [[email protected]] On Behalf Of Robert A Yaffee
> [[email protected]]
> > Sent: Wednesday, April 16, 2008 9:26 PM
> > To: [email protected]
> > 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 <[email protected]>
> > Date: Wednesday, April 16, 2008 6:22 pm
> > Subject: st: Constraints for simultaneous equations model
> > To: "[email protected]"
> <[email protected]>
> >
> >
> > > 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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> 


-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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