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Re: RE: RE: st: Constraints for simultaneous equations model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: RE: st: Constraints for simultaneous equations model
Date   Thu, 17 Apr 2008 07:30:28 -0400

Beat,
    You might explore  the MATA matrix language in Stata and see if you could
set up the constraints in there.
   - Regards,
         Bob

    


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: Thursday, April 17, 2008 0:03 am
Subject: RE: RE: st: Constraints for simultaneous equations model
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>


> 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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