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Re: st: reg3 and restricting some IVs for reduced-form regressions


From   Ekrem Kalkan <kalkan.ekrem@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: reg3 and restricting some IVs for reduced-form regressions
Date   Thu, 10 Dec 2009 22:43:35 +0200

Thanks a lot.

2009/12/10 Martin Weiss <martin.weiss1@gmx.de>:
>
> <>
>
> No, -gmm- is a feature new to Stata 11:
> http://www.stata.com/stata11/gmm.html
>
>
>
> HTH
> Martin
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ekrem Kalkan
> Sent: Donnerstag, 10. Dezember 2009 21:33
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: reg3 and restricting some IVs for reduced-form regressions
>
> Thank you for your answer. I have only Stata 10, do you think this
> version is enough for that method.
>
>
> 2009/12/10 Austin Nichols <austinnichols@gmail.com>:
>> Ekrem Kalkan <kalkan.ekrem@gmail.com> :
>> Read the manual entry on -gmm- in Stata 11 for a multi-equation IV
>> with different instruments by equation.
>>
>> On Thu, Dec 10, 2009 at 2:43 PM, Ekrem Kalkan <kalkan.ekrem@gmail.com>
> wrote:
>>> Hello Dear Stata users,
>>>
>>> In a presentation prepared by C. Baum (see the site
>>> http://fmwww.bc.edu/ec-c/s2009/771/DIWMar2008.beamer.pdf, page 38),
>>>
>>> it is said that it is possible to restrict certain instruments to
>>> enter certain first-stage regressions by specifying  a full
>>> simultaneous system of equations and by using the command "reg3". As
>>> far as I know in "reg3", all instruments specified in option exog( )
>>> are used in reduced form regressions. Does anybody know how to do
>>> Baum's suggestion ?
>>> More concretely, I am currently estimating a demand system using AIDS
>>> model. Prices (P1, P2 etc.) are assumed to be endogenous. I assume
>>> instrument IV1 is correlated with P1, but I do not want to use IV1 for
>>> P2, for example.
>>>
>>> Thank you.
>>>
>>> Ekrem Kalkan
>>
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