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From |
Ana <analunhb@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Nlsur quaids and IV |

Date |
Fri, 3 Jun 2011 13:09:12 -0300 |

Thank you very much (again and always!)!!!! 2011/6/3 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>: > 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. >>>> * >>>> * 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/ >>>> >>> >>> * >>> * 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/ >>> >> >> * >> * 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/ >> > > * > * 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/ > * * 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**:**Re: st: Nlsur quaids and IV***From:*Ana <analunhb@gmail.com>

**Re: st: Nlsur quaids and IV***From:*Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>

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