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st: reverse equation estimation


From   Luciano Lavecchia <luciano.lavecchia@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: reverse equation estimation
Date   Mon, 25 May 2009 23:37:28 -0700 (PDT)

Hi,
I'm try to test how weak instruments can affect Taylor Rules in the euro zone. basically I'm running a TSE GMM with Newey-West kernel with 4 lags of bandwitdh, regressing euribor on constant, output gap, inflation and a lag of euribor i.e

euribor= (1-c(4))*(c(1)+c(2)*inf+c(3)*outputgap))+c(4)*euribor(-1)

Now,  I would like, following Hahn & Hausman (2002) to obtain reverse equation estimates (as this would give insights on the
 presence of weak instruments) i.e. estimate something like

outputgap=-(1/c(3))*(c(1)+c(2)*inf-(1/(1-c(4))*(euribor - c(4)*euribor(-1)))

as you can see there is no "free" regressor which I can use to estimate with nlcom the others... what can I do? It's funny because E-views (which, by the way, doesn't support neither TSE nor CUE with GMM ....) has this useful equation editor, while STATA is not so "friendly". I know the command "constraint" but is not allowed under ivregress and ivreg2. 

Thanks!


luciano lavecchia
P.S: I'm aware of Stock & yogo if somebody would like to suggest me of their test!




      




      


      


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