Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: 3SLS / Three Stage with heteroscedasticity robust errors


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 3SLS / Three Stage with heteroscedasticity robust errors
Date   Wed, 9 Sep 2009 11:57:09 -0400

Wiebke Schlanbusch --
But note -cmp- only handles "triangular" or "recursive" systems and
requires distributional assumptions, whereas -ivreg2- is consistent
under a smaller set of assumptions for a set of linear models, and
supports an enormous variety of SE calculations.  Just estimate one
equation at a time.

On Wed, Sep 9, 2009 at 11:52 AM, John Antonakis<john.antonakis@unil.ch> wrote:
> Hi:
>
> Use Roodman's cmp. It allows you to estimate systems of equations using ML
> with heteroskedastic robust SEs. Do -ssc install cmp-.
>
> HTH,
> J.
>
> Roodman, D. (2008). Cmp: Stata module to implement conditional (recursive)
> mixed process estimator. http://ideas.repec.org/c/boc/bocode/s456882.html.
>
>
> On 09.09.2009 17:47, Wiebke Schlanbusch wrote:
>>
>> Dear Statalist-ers,
>>
>> for my diploma thesis I want to estimate a simultaneous equations model
>> with different data samples using -reg3-. I tested all my single equations
>> on heteroscedasticity using -ivreg2- for the equations and -ivhettest- for
>> the test. Some of my equations turn out to be heteroscedastic and other
>> not... Therefore I would like to estimate the 3SLS models using robust
>> errors, which is not implemented. Someone suggested to programm it in Stata,
>> but unfortunately my programming skills are not worth mentioning nor do I
>> have the programming manual. This is why I am asking if anyone ever did this
>> "robust errors three stage"-programming and might be so kind to help me with
>> the code.
>> (I am currently using Stata 10.1)
>>
>> Kind regards,
>> Wiebke Schlanbusch
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index