[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
fburchi@uniroma3.it |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AW: IV Quantile Regression and Test of Equality |

Date |
Tue, 15 Dec 2009 14:35:36 +0100 (CET) |

Dear Martin, I am referring to the post: http://www.stata.com/statalist/archive/2003-09/msg00585.html where this procedure is suggested. I should add that I am using Stata 10. I try to re-write the commands used: 1) program IVQRestimates 2) reg endogvar instrument1 instrument2 X1 X2 X3 X4, robust 3) predict double IVendogvar, xb 4) sqreg Y IVendogvar X1 X2 X3 X4, quantiles(10,30,50,70,90) 5) end 6) bootstrap "IVQRestimates" _b, reps(100) dots > <> > > " bootstrap "IVQRestimates" _b, reps(100) dots" > > This is not your call to -bootstrap- the command "IVQRestimates", is it? > It > does not follow the syntax explained in -h bs- (where the command in > question goes after the colon). "IVQRestimates" is just a possible name for the program that I have run. The final bootstrap on the program should allow to get bootstrapped standard errors for both the stages. > > " The other problem is that after using this procedure, Stata does not > recognize the quantiles," > > What do you mean by that? -sqreg- does leave behind the coefficient vector > and the associated varcov, so you can -test- afterwards: I am again referring to boostrap of the whole program. Stata displays the final output calling the variables b_X1 b_2X2 and so on and there seems no way to recall them in order to run the Wald tests. That is why I wondered whether there was an alternative procedure to run it or, simply, a way to compute the test manually. > *** > sysuse auto, clear > sqreg price weight length foreign, quantile(.25 .5 .75) > te [q25=q50] > *** > > Since you instructed -bootstrap- to save only the coefficients ("_b"), why > do you expect that a -test- procedure would be possible afterwards? I have just applied the procedure suggested in the previous post on the same topic. Should I add any other option? Thanks again, Francesco > HTH > Martin > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Francesco > Burchi > Gesendet: Dienstag, 15. Dezember 2009 12:42 > An: statalist@hsphsun2.harvard.edu > Betreff: st: IV Quantile Regression and Test of Equality > > Dear Statalisters, > > I am applying instrumental variable quantile regression due to the > endogeneity of one explanatory variable (endgovar). I am using two > instrumental variables (instrument1 and instrument2). I have followed the > procedure already highlighted in previous posts, that is: > > program IVQRestimates > reg endogvar instrument1 instrument2 X1 X2 X3 X4, robust > predict double IVendogvar, xb > sqreg Y IVendogvar X1 X2 X3 X4, quantiles(10,30,50,70,90) > end > bootstrap "IVQRestimates" _b, reps(100) dots > > Unfortunately, Stata gives me the message "insufficient observations to > compute bootstrap standard errors. no results will be saved" There is > clearly no problem of total number of observations since they are more > than > 6000. I have tried different specifications of the model, but the > algorithm > still does not converge. However, when I have included just one of the two > instrumental variables, it finally produced the results. Do you have any > explanation of this? I would be really glad to have suggestions on how to > obtain my results keeping both the instruments. > > The other problem is that after using this procedure, Stata does not > recognize the quantiles, thus I cannot automatically run the Wald tests to > test the equality of coefficients across different quantiles. Do you have > any suggestions on this? Or, could you simply tell me how I could compute > the test by hand? > > Thanks, > Francesco > > > * > * 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/ > -- Francesco Burchi Post-doctoral Research Fellow Roma Tre University Department of Economics Email: fburchi@uniroma3.it Mobile: 0039 3471790717 * * 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: AW: IV Quantile Regression and Test of Equality***From:*Austin Nichols <austinnichols@gmail.com>

**AW: st: AW: IV Quantile Regression and Test of Equality***From:*"Martin Weiss" <martin.weiss1@gmx.de>

**References**:**st: IV Quantile Regression and Test of Equality***From:*"Francesco Burchi" <fburchi@uniroma3.it>

**st: AW: IV Quantile Regression and Test of Equality***From:*"Martin Weiss" <martin.weiss1@gmx.de>

- Prev by Date:
**st: Using esttab to combine multiple xtmixed outputs** - Next by Date:
**st: not receiving replies [was: RE: Using esttab to combine multiple xtmixed outputs]** - Previous by thread:
**st: AW: IV Quantile Regression and Test of Equality** - Next by thread:
**AW: st: AW: IV Quantile Regression and Test of Equality** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |