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


From   "Mike Kim" <kalisperos@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: 3SLS / Three Stage with heteroscedasticity robust errors
Date   Wed, 9 Sep 2009 20:44:55 -0500

<>

As far as I know, 3SLS is not consistent if errors are heteroskedastic. I am 
not sure whether we can fix this problem with robust standard error.

Mike.

----- Original Message ----- 
From: "Martin Weiss" <martin.weiss1@gmx.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, September 09, 2009 1:37 PM
Subject: AW: st: 3SLS / Three Stage with heteroscedasticity robust errors



<>

Wiebke may also want to consult
http://www.stata.com/meeting/dcconf09/dc09_roodman.ppt



HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von John Antonakis
Gesendet: Mittwoch, 9. September 2009 17:52
An: statalist@hsphsun2.harvard.edu
Betreff: 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-.

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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