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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sun, 11 Oct 2009 09:22:57 -0400 |

Misha-- If both equations are estimated in the same data (i.e. you are not using a two-sample IV procedure), you should use -ivreg- or -ivregress- or -ivreg2- (on SSC) instead. The approximate standard error formula for the two separate estimations on one dataset is not a good substitute for the one given by an IV estimator: use http://pped.org/card.dta reg lwage exper nearc4, nohe r loc b1=_b[nearc4] loc s1=_se[nearc4] reg educ exper nearc4, nohe r loc b2=_b[nearc4] loc s2=_se[nearc4] ivreg lwage exper (educ=nearc4), nohe r di `b1'/`b2' di `b1'/`b2'*sqrt((`s2'/`b2')^2+(`s1'/`b1')^2) qui reg lwage exper nearc4 est sto r1 qui reg educ exper nearc4, nohe est sto r2 suest r1 r2 mat v=e(V) matrix cov=v["r1_mean:nearc4","r2_mean:nearc4"] loc c=cov[1,1] di `b1'/`b2'*sqrt((`s2'/`b2')^2+(`s1'/`b1')^2-2*`c'/`b1'/`b2') On Sat, Oct 10, 2009 at 3:44 PM, Misha Spisok <misha.spisok@gmail.com> wrote: > 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/

**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>

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

**Re: 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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