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From |
"Agrar Fagma" <agfa1970@gmx.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: instrumental variables, reg3, simultaneous equation model, var |

Date |
Wed, 24 Feb 2010 18:19:44 +0100 |

Dear all: I didn't get an answer yet but a possible solution by myself: reg3 (F R lagged_F lagger_r) (R F lagged_F lagger_r),inst(lagged_F lagger_r z1 z2 z3 z4) works. But my question remains: Is this procedure correct and appropriate? Regards A.Dedder -------- Original-Nachricht -------- > Datum: Wed, 24 Feb 2010 16:53:15 +0100 > Von: agfa1970@gmx.de > An: statalist@hsphsun2.harvard.edu > Betreff: st: instrumental variables, reg3, simultaneous equation model, var > Dear all: > > The following text my appear long, but it is very precise (and probably > easy stuff). > > I estimated the following VAR(2): > > F_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > R_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > > Now I would like to insert contemporaneous values on the right - hand - > side of the VAR which would become a structural VAR. For identification and > because of endogeneity, I would need 1 restriction, ie. I could either > estimate > > F_{t} = R_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > R_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > > or > > F_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > R_{t} = F_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > > with a normal Choleski-Decomposition. > > As I have a bigger VAR as in this example, I cannot enter that many > restrictions (long-run restrictions are neither possible because I have no > theory!). > > Now comes my point and problem: > > I wonder whether I could estimate > > F_{t} = R_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > R_{t} = F_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} > > and fight the obvious endogeneity by 3SLS or the STATA command reg3 ?? > > I have 4 instruments (which I do not want to appear on the right hand side > of the equations if possible as I would not have the original VAR any > more) with which I would like to "replace" the contemporaneous right hand side > variables R_{t} and F_{t}. Would this work? I really searched a long time > but could not find any information regarding 3SLS (or GMM) and estimation of > a structural VAR. > > If I have to include my instruments on the right hand side of the VAR > (which would become a simultanous equation model), could I still use the 3SLS > command..? Would GMM be better? Or is there any error in my model/ do I not > understand the methodology of instrumental variables right? > > I tried it without lagged variables and it worked fine (the z's are my > instruments): > > reg3 (F R) (R F), inst(z1 z2 z3 z4) > > But: > > reg3 (F R = L.F L.R) (R F = L.F L.R), inst(z1 z2 z3 z4) > > does not work! > > STATA says: "Covariance matrix of errors is singular" > Where is my mistake?? Is this due to poor instruments? Or is the model not > testable at all?? > > Of course, I read the STATA11 manual beforehand but there's nothing about > a simultaneous equation model with lags.. > > > > Kind regards > > Agther F. Dedder > -- > Sicherer, schneller und einfacher. Die aktuellen Internet-Browser - > jetzt kostenlos herunterladen! http://portal.gmx.net/de/go/chbrowser > * > * 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/ -- GMX DSL: Internet, Telefon und Entertainment für nur 19,99 EUR/mtl.! http://portal.gmx.net/de/go/dsl02 * * 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: instrumental variables, reg3, simultaneous equation model, var***From:*Michael McCulloch <mm@pinestreetfoundation.org>

**References**:**st: instrumental variables, reg3, simultaneous equation model, var***From:*agfa1970@gmx.de

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