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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 |
Sun, 11 Oct 2009 13:35:41 -0700 |

Thank you, Professor Nichols--this answers a question I didn't ask but was at the back of my mind. The formula I noted neglected any possible covariance--is this the problem that arises in the context of using two separate estimations on a single dataset? I have two follow-up questions, one statistics-related and one Stata-related. 1. If I follow the -suest- in your example with the following: . nlcom [r1_mean]_b[nearc4]/[r2_mean]_b[nearc4] Does this give me the "correct" standard error? If so, is the difference (0.00001913) due to rounding? I attempted to use doubles in the code you provided, e.g., local double b1=_b[nearc4], but then I can't even find a workaround to the problem in my second question. When I get to . di `b1'/`b2'*sqrt((`s2'/`b2')^2+(`s1'/`b1')^2-2*`c'/`b1'/`b2') I get the error, 1572375310669762 invalid name 2. When I "do" (i.e., highlight a line of the do-file and hit the "do selected lines" button) each line of code from a do-file editor, then when I get to di `b1'/`b2' I get the error invalid syntax I (obviously to you probably, but not to me) don't have this problem if I either (i) do the entire do-file at once or (ii) enter contents interactively, line-by-line. I do, however, have a similar problem, as mentioned in my first question, if I change the local assignment to a "local double" assignment. I apologize for any imprecision or incorrect use in my terminology about locals, doubles, etc. Thank you again for your time and attention. Best, Misha On Sun, Oct 11, 2009 at 6:22 AM, Austin Nichols <austinnichols@gmail.com> wrote: > 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/ > * * 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:*Maarten buis <maartenbuis@yahoo.co.uk>

**AW: st: How to implement Wald estimator (for IV that is a ratio of coefficients)?***From:*"Martin Weiss" <martin.weiss1@gmx.de>

**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>

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

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