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RE: st: RE: re: 3sls and fixed effects


From   "Biljana Dlab" <dlab@isb.uzh.ch>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: re: 3sls and fixed effects
Date   Sat, 16 Oct 2010 19:16:00 +0200

I have 2 endogenous variables - this is the full equation:

xi:reg3(v1 v2 v3 v4 v5 v6 i.firm i.year)(v5 v2 v3 v4 v1 v7 i.firm
i.year), endog(v1 v5)

I have 2 endogenous variables (right hand side)
4 exogenous variables
2 fixed effects variables

It works without fixed effects, as soon as I put them into equation it
does not work.

Thanks,
Biljana


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John
Antonakis
Sent: 16 October 2010 19:08
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: re: 3sls and fixed effects

Hi:

How many endogenous and exogenous variables do you have? You must have 
at least as many instruments as you have endogenous variables (and 
ideally more instruments than endogenous variables so that your equation

is "over-identified" and so that you can test the constraints you have 
made in your model).

HTH,
J.

__________________________________________

Prof. John Antonakis, Associate Dean
Faculty of Business and Economics (HEC)
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Home page:
http://www.hec.unil.ch/people/jantonakis
__________________________________________


On 16.10.2010 19:02, Biljana Dlab wrote:
> I tried as you suggested but then i get message:
>
> "Equation is not identified -- does not meet order conditions"
>
> Any idea what could be the problem.
>
> Thanks.
>
> Best,
> Biljana
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John
> Antonakis
> Sent: 16 October 2010 16:54
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: re: 3sls and fixed effects
>
> Put xi: before the regression--seems that you are not running the
latest
>
> version of Stata.
>
> xi: reg3 (invest mvalue kstock i.company) (kstock time i.company),
>
> Regards,
> John.
>
> __________________________________________
>
> Prof. John Antonakis, Associate Dean
> Faculty of Business and Economics (HEC)
> Department of Organizational Behavior
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
>
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
>
> Home page:
> http://www.hec.unil.ch/people/jantonakis
> __________________________________________
>
>
> On 16.10.2010 16:49, Biljana Dlab wrote:
>> I tried to put in my regression:
>> Reg3(... i.year i.firm)(... i.year i.firm), endog(...)
>>
>> But then I get the error message:
>>
>> i:  operator invalid
>>
>> I have panel data
>>
>> Thanks,
>>
>> Biljana
>>
>>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
Christopher
>> Baum
>> Sent: 16 October 2010 16:39
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: re: 3sls and fixed effects
>>
>> <>
>> Biljana wonders how to include fixed effects in 3SLS:
>>
>> webuse grunfeld, clear
>> reg3 (invest mvalue kstock i.company) (kstock time i.company),
>> endog(invest kstock)
>>
>> Kit
>>
>> Kit Baum   |   Boston College Economics&   DIW Berlin   |
>> http://ideas.repec.org/e/pba1.html
>>                                 An Introduction to Stata Programming
|
>> http://www.stata-press.com/books/isp.html
>>      An Introduction to Modern Econometrics Using Stata  |
>> http://www.stata-press.com/books/imeus.html
>>
>>
>> *
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