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st: Re: reg3
Kit Baum <email@example.com>
st: Re: reg3
Mon, 16 Feb 2009 06:56:31 -0500
It would be much easier to figure out the identification status of
these equations if you estimated them one at a time with ivregress or
As far as I can see the C equation can be estimated with OLS, as there
are no RHS endogenous variables. The P equation needs one instrument
(for C) and you have both A and G1-G4 available, so it is identified.
Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:
On Feb 16, 2009, at 02:33 , Narasihman wrote:
I was wondering if it is correct to test interactions and non-linear
effects with reg3. My system of equations is as follows. I am trying
to test for non-linear effects in three of the equations.
reg3 (P ST C S S^2 B)
(C ST S S^2 )
(D A S G1-4 (categorical) P ST C P*C P*ST C*ST P*C*ST)
(OS ST D C P S A G1-4)
I will appreciate any inputs. What worried me in this set up was that
while the endogenous variables were fine, the interaction terms (of
endogenous variables) are construed as exogenous variables. Also, ST
in my model is an exogenous variable that is not determined by the
model, I have some interaction terms based on ST with some endogenous
variables in the model.
While I am getting some output, and it seems to be theoretically
meaningful, I am wondering if this is correct? I was looking up
examples on the stata manual and I guess it did not explicitly talk
about non-linear models in the manual. I would appreciate if anyone
has inputs to share on this. I am sorry if this question sounds naive.
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