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


From   "Biljana Dlab" <[email protected]>
To   <[email protected]>
Subject   RE: st: RE: re: 3sls and fixed effects
Date   Sat, 16 Oct 2010 19:27:52 +0200

That example works for me as well.

Have stata 10.

I have some lagged values in regression - could that be the problem?

This is what I have & get:


. xi: reg3 (DeltaDebt CashFlow dQ size DeltaCashHold debt_lag1 i.gvkey_n
i.fyear) (DeltaCashHold CashFlow dQ size DeltaDebt cashhold_lag2
i.gvkey_n i.fyear), endog(DeltaDebt DeltaCashHold)

i.gvkey_n         _Igvkey_n_1017-103307(naturally coded; _Igvkey_n_1017
omitted)
i.fyear           _Ifyear_1971-2001   (naturally coded; _Ifyear_1971
omitted)
1st stage failure.
    Equation:  DeltaDebt CashFlow dQ size debt_lag1 _Igvkey_n_1056 
         _Igvkey_n_1058 _Igvkey_n_1093 _Igvkey_n_1124 _Igvkey_n_1234 
         _Igvkey_n_1248 _Igvkey_n_1283 _Igvkey_n_1284 _Igvkey_n_1327 
         _Igvkey_n_1350 _I

(...)

Best,
Biljana

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Clive
Nicholas
Sent: 16 October 2010 19:16
To: [email protected]
Subject: Re: st: RE: re: 3sls and fixed effects

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.

I'll hapilly tell you what the main problem is: it's that you're not
following the solutions provided by John and Kit properly:

. webuse grunfeld

. xi: reg3 (invest mvalue kstock i.company) (kstock time i.company),
endog(invest kstock)
i.company         _Icompany_1-10      (naturally coded; _Icompany_1
omitted)

Three-stage least-squares regression
----------------------------------------------------------------------
Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
----------------------------------------------------------------------
invest            200     11    52.79183    0.9404    2882.99   0.0000
kstock            200     10    173.8865    0.6648     396.70   0.0000
----------------------------------------------------------------------

------------------------------------------------------------------------
------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
invest       |
      mvalue |   .1106015   .0124791     8.86   0.000     .0861429
.1350602
      kstock |    .253693   .0275762     9.20   0.000     .1996447
.3077413
 _Icompany_2 |   153.3988   30.54439     5.02   0.000     93.53285
213.2646
 _Icompany_3 |   -178.128    31.5856    -5.64   0.000    -240.0347
-116.2214
 _Icompany_4 |   14.50765   42.87785     0.34   0.735    -69.53139
98.54668
 _Icompany_5 |  -51.47406   51.71217    -1.00   0.320    -152.8281
49.87992
 _Icompany_6 |   18.33015   45.77218     0.40   0.689    -71.38167
108.042
 _Icompany_7 |  -13.05761   50.69623    -0.26   0.797    -112.4204
86.30517
 _Icompany_8 |   -17.2252   42.89694    -0.40   0.688    -101.3017
66.85125
 _Icompany_9 |   -34.7751   48.39492    -0.72   0.472    -129.6274
60.07719
_Icompany_10 |   29.54644   48.99071     0.60   0.546     -66.4736
125.5665
       _cons |  -35.81323   48.30395    -0.74   0.458    -130.4872
58.86077
-------------+----------------------------------------------------------
------
kstock       |
        time |   26.65492   2.132334    12.50   0.000     22.47563
30.83422
 _Icompany_2 |    -353.58   54.98775    -6.43   0.000     -461.354
-245.806
 _Icompany_3 |   -248.275   54.98775    -4.52   0.000     -356.049
-140.501
 _Icompany_4 |    -527.19   54.98775    -9.59   0.000     -634.964
-419.416
 _Icompany_5 |    -161.67   54.98775    -2.94   0.003     -269.444
-53.89599
 _Icompany_6 |    -544.15   54.98775    -9.90   0.000     -651.924
-436.376
 _Icompany_7 |    -333.49   54.98775    -6.06   0.000     -441.264
-225.716
 _Icompany_8 |   -562.795   54.98775   -10.23   0.000     -670.569
-455.021
 _Icompany_9 |   -350.535   54.98775    -6.37   0.000     -458.309
-242.761
_Icompany_10 |  -642.4935   54.98775   -11.68   0.000    -750.2675
-534.7195
       _cons |   368.5583   44.86776     8.21   0.000     280.6191
456.4975
------------------------------------------------------------------------
------
Endogenous variables:  invest kstock
Exogenous variables:   mvalue _Icompany_2 _Icompany_3 _Icompany_4
_Icompany_5
     _Icompany_6 _Icompany_7 _Icompany_8 _Icompany_9 _Icompany_10 time
------------------------------------------------------------------------
------

This ran perfectly on my Stata 9.2.

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<[email protected]>. Please respond to contributions I make in
a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.
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