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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: 3SLS / Three Stage with heteroscedasticity robust errors
Date   Wed, 9 Sep 2009 17:00:39 +0100

Wiebke, John,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> John Antonakis
> Sent: Wednesday, September 09, 2009 4:52 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: 3SLS / Three Stage with heteroscedasticity 
> robust errors
> 
> Hi:
> 
> Use Roodman's cmp. It allows you to estimate systems of 
> equations using 
> ML with heteroskedastic robust SEs. Do -ssc install cmp-.

Good suggestion, and hopefully Wiebke's problem is recursive.  From the
-cmp- help file:

"Recursive" means, however, that cmp can only fit sets of equations with
clearly defined stages, not ones with simultaneous causation. A and B
can be modeled determinants of C and C a determinant of D--but D cannot
be a modeled determinant of A, B, or C.

Cross fingers!

--Mark

> HTH,
> J.
> 
> Roodman, D. (2008). Cmp: Stata module to implement conditional 
> (recursive) mixed process estimator. 
> http://ideas.repec.org/c/boc/bocode/s456882.html.
> 
> ____________________________________________________
> 
> Prof. John Antonakis
> Associate Dean Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> 
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> 
> Faculty page:
> http://www.hec.unil.ch/people/jantonakis&cl=en
> 
> Personal page:
> http://www.hec.unil.ch/jantonakis
> ____________________________________________________
> 
> 
> 
> 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
> >
> >
> >       
> >
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