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Re: st: Nlsur quaids and IV


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Nlsur quaids and IV
Date   Fri, 3 Jun 2011 12:05:16 -0400

See page 82 of:

http://www.aec.msu.edu/theses/fulltext/bopape_phd.pdf

Hope this helps,
_______________________
Jorge Eduardo Pérez Pérez




On Thu, Jun 2, 2011 at 8:06 PM, Ana <analunhb@gmail.com> wrote:
> Dear Pérez,
>
> I've kept using Stata and I was well succeded with the second approach
> you suggested below (estimate the model with nlsur - including the
> residuals from the first stage regression in the share equations). Do
> you know if it is possible to use an overidentification test in this
> model ? I've used two instruments (income and income-square) for my
> expenditure variable.
> Thank you very much in advance.
> Best regards,
> Ana.
>
>
> 2011/5/27 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
>> To do this, you would need to have a estimator for nonlinear 3SLS
>> which Stata does not have. If you want to keep using Stata, there are
>> some additional approaches you might try though:
>>
>> * Estimate the model via an interative estimator and -reg-, like in
>> Blundell and Robin (1999). You would have to include the residuals
>> from the first stage regression in the share equations to correct the
>> endogeneity (This is done in Banks, Blundell & Lewble QAIDS paper).
>> Blundell and Robin provide a formula for the standard errors, but
>> since the estimator is computationally efficient, it is easier to
>> bootstrap the whole thing.
>> * Estimate the model with -nlsur- including the residuals from the
>> first stage regression in the share equations. Again, adjustment of
>> the standard errors is needed. I am not aware of the adjustment in
>> this case. Bootstrapping would be slower.
>> * You can estimate a -LA AIDS- with full correction for endogeneity
>> and correct standard errors using -reg3-, no iterations would be
>> needed.
>> * You can estimate the AIDS or QAIDS with -reg3- and an iterative
>> estimator like the one mentioned before. Some adjustment of the
>> standard errors is needed for estimation with generated regressors.
>> * You can estimate the model via -gmm-
>>
>>
>> References:
>>
>> Blundell, Richard & Robin, Jean Marc, 1999. "Estimation in Large and
>> Disaggregated Demand Systems: An Estimator for Conditionally Linear
>> Systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd.,
>> vol. 14(3), pages 209-32, May-June
>>
>>
>> _______________________
>> Jorge Eduardo Pérez Pérez
>>
>>
>>
>>
>> On Fri, May 27, 2011 at 7:18 PM, Ana <analunhb@gmail.com> wrote:
>>> Dear Statalisters (Brian Poi and Alex Olssen)
>>>
>>> I'm using Brian Poi (2008) nlsurquaids.ado to estimate a Four Demand
>>> Equation system.
>>>
>>> My model has the form:
>>>
>>> nlsurquaids @ w1 w2 w3 lnp1-lnp4 lnexp, ifgnls nequations(3) param(a1
>>> a2 a3 b1 b2 b3 g11 g12 g13 g22 g23 g33 l1 l2 l3) nolog
>>>
>>> I'd like to include in this model an Instrumental Variable (like
>>> lnincome) for the expenditure variable (lnexp). Is it possible?
>>> Does anybody know how to include the IV in this model?
>>>
>>> Thanks a lot in advance.
>>> Best regards,
>>> Ana.
>>> *
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>>> *   http://www.ats.ucla.edu/stat/stata/
>>>
>>
>> *
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>
> *
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