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From |
Misha Spisok <misha.spisok@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sat, 10 Oct 2009 12:44:29 -0700 |

Stas, Many thanks (большое спасибо), not just for solving this problem but introducing me to another command in Stata. Misha On Fri, Oct 9, 2009 at 9:39 PM, Stas Kolenikov <skolenik@gmail.com> wrote: > 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/ > * * 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:*Austin Nichols <austinnichols@gmail.com>

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

**Re: st: How to implement Wald estimator (for IV that is a ratio of coefficients)?***From:*Stas Kolenikov <skolenik@gmail.com>

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