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From |
agfa1970@gmx.de |

To |
statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 25 Feb 2010 13:26:55 +0100 |

Dear all, I have been given the advice to re-write my question in a clearer way, so here we go: -The data: I have two monthly time series with 200 observations each. One for Cash Flows (F), another one for Returns(R). Besides, I have four instrumental variables like the term spread (called z1 to z4). -The questions: 1)Theory:I don't want the instruments to appear on the right hand side of my simultaneous equation model but I am not sure whether I can apply 3SLS then. 2)Practical: If I can apply it, is my command (below) correct? -The problem: I want to estimate the following simultanous equations model (SEM): 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. But I dont want my instruments to appear on the right hand side of the equations. I tried it with (the z's are my instruments): reg3 (F R lag1_F lag1_R lag2_F lag2_R) (R F lag1_F lag1_R lag2_F lag2_R),inst(lag1_F lag1_R lag2_F lag2_R z1 z2 z3 z4) and STATA reports estimates. Is this command alright? -Why I want to do this estimation (read only if you want to suggest my a sturctural VAR): I estimated a normal VAR(2) of the following form: 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 want to estimate a six - variable VAR later (three time series of cash flow and returns, respectively), I cannot enter that many restrictions (long-run restrictions are neither possible because I have no theory!). Kind regards Agther F. Dedder -- Sicherer, schneller und einfacher. Die aktuellen Internet-Browser - jetzt kostenlos herunterladen! http://portal.gmx.net/de/go/atbrowser * * 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/

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

**Re: st: instrumental variables, reg3, simultaneous equation model, var***From:*"Agrar Fagma" <agfa1970@gmx.de>

**Re: st: instrumental variables, reg3, simultaneous equation model, var***From:*Michael McCulloch <mm@pinestreetfoundation.org>

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