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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to implement Wald estimator (for IV that is a ratio of coefficients)? |

Date |
Fri, 9 Oct 2009 23:39:20 -0500 |

See if you can get your standard error via -nlcom- after -reg3-. I would guess that's the most appropriate estimation method, and -nlcom- is certainly the most appropriate method to deal with the delta-method, Stata way. On Fri, Oct 9, 2009 at 8:21 PM, Misha Spisok <misha.spisok@gmail.com> wrote: > Hello, Statalist! > > In short, does -ivregress- (or -reg3-) include what I think is called > the Wald estimator? If so, how can I implement it for a problem like > the one below? I've searched for a command for the Wald estimator, > but can only find references to Wald _tests_. > > I am considering a model similar to Ashenfelter and Greenstone (2004) > with two reduced-form equations, the estimates of which are used to > find an instrumental variable estimator in a third equation, the one > of primary interest. > > My question is, how can I do this in Stata in one fell swoop? > > The two equations are > > F = lambda_F*VMT + PI_F*1(65mph limit in force) + epsilon > H = lambda_H*VMT + PI_H*1(65mph limit in force) + epsilon' > > where 1(.) is an indicator variable which I'll call "65mph" below. > > The equation of interest is > > H = beta*VMT + theta*F + nu > > The parameter of interest is theta. From the estimate of the reduced > form equations the IV for theta, theta_IV, is > > theta_IV = (PI_H)/(PI_F) > > Given estimates of PI_H and PI_F (as presented in the paper), one can > form the corresponding theta_IV. It seems that the authors use a > formula for the standard error of theta_IV like the following: > > se_theta = theta_IV*sqrt((se_PI_H/PI_H)^2 + (se_PI_F/PI_F)^2) > > I tried doing this in the following ways, but the results are not the > same. I wouldn't expect them to be, but I can't find a reference for > Wald estimator in Stata, so I thought I'd try it. > > Method 1: > . reg F VMT 65mph > . reg H VMT 65mph > Calculate theta_IV from coefficients on 65mph in the above equations. > > Method 2: > . ivregress 2sls H VMT (F 65mph) > Hope that theta_IV would be the coefficient on F. > > Method 3: > . reg3 (F VMT 65mph) (H VMT F) > Hope that theta_IV would be the coefficient on F in the equation for H. > > What is the correct way to get this ratio of coefficients (theta_IV = > (PI_H)/(PI_F)) and its standard error all at once in Stata? > > Thanks, > > Misha > * > * 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**Follow-Ups**:**Re: st: How to implement Wald estimator (for IV that is a ratio of coefficients)?***From:*Misha Spisok <misha.spisok@gmail.com>

**References**:**st: How to implement Wald estimator (for IV that is a ratio of coefficients)?***From:*Misha Spisok <misha.spisok@gmail.com>

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