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From |
Michael Musyoka <pmusyokastata@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: SUREG for Almost Ideal Demand System |

Date |
Sun, 3 Jul 2011 03:48:13 -0700 (PDT) |

Thanks Poi I understand, its the long way and I got to do it. Thanks alot ----- Original Message ---- From: Brian P. Poi <brian@poiholdings.com> To: statalist@hsphsun2.harvard.edu Sent: Sun, July 3, 2011 12:55:25 AM Subject: Re: st: SUREG for Almost Ideal Demand System On 07/01/2011 08:37 PM, Michael Musyoka wrote: > Thanks a lot Poi for the assistance. Indeed I have managed it directly with the > coefficients from Sureg. But once I extract the coefficients into a matrix, I >am > > not getting the se and variance covariance matrix. Is there a way to combine > nlcom with matrix of coefficients? this will make it possible to do the own and > cross elasticities by stating i=j or i>j and vice versa at once.... > For example...say Matrix E...Expenditure coefficient in Sureg....then > > matrix list E > matrix c=J(13,1,1) > matrix Expel=J(13,1,0) > matrix n=J(13,1,0) > forval i=1/13 { > forval j=1/1 { > mat Expel[`i',`j']=c[`i',`j']+(scd[`i',`j']*E[`i',`j'])/sw[`i',`j'] > nlcom (shares:c[`i',`j']+(0.33450538*E[`i',`j'])/.14810108) > } > } I may have been unclear when I stated that -nlcom- could estimate multiple functions at once. What I meant by that was that if you want to obtain the variance-covariance matrix of multiple estimates, you specify all of the functions in the same call to -nlcom-. No looping is required. For example, say you've just replicated example 4 from the Reference manual entry for -nlsur-, so that the active estimation results in Stata contain a 4-equation demand system. Now, let's obtain the vector of income elasticities and the corresponding covariance matrix. For the basic AIDS model, the income elasticity for the i'th good is eta_i = 1 + beta_i / w_i. To implement this formula, we need to pick the set of expenditure shares at which we want the elasticities. For simplicity, we will use the means. In Stata, // Get the means of the w's summ w1, meanonly scalar w1_mean = r(mean) summ w2, meanonly scalar w2_mean = r(mean) summ w3, meanonly scalar w3_mean = r(mean) summ w4, meanonly scalar w4_mean = r(mean) nlcom (1 + _b[/b1]/w1_mean) /// (1 + _b[/b2]/w2_mean) /// (1 + _b[/b3]/w3_mean) /// (1 + (-_b[/b1] - _b[/b2] - _b[/b3])/w4_mean) mat eta = r(b) mat etaV = r(V) // Let's verify Engel aggregation to check our results mat ws = (w1_mean, w2_mean, w3_mean, w4_mean) mat result = eta*ws' mat list result // Here is the complete covariance matrix: mat list etaV Instead of thinking in terms of a matrix of price elasticities, think in terms of a vector where we stack the columns one on top of another. If the price elasticity matrix is 4x4, then think in terms of a 16x1 vector of functions; otherwise, conceptualizing what the covariance matrix of what is already a matrix gets tricky. In this case your call to -nlcom- would include a total of 16 functions, one for each elasticity of good i with respect to price j. I hope this helps. -- Brian Poi -- brian@poiholdings.com * * 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: SUREG for Almost Ideal Demand System***From:*Michael Musyoka <pmusyokastata@yahoo.com>

**Re: st: SUREG for Almost Ideal Demand System***From:*"Brian P. Poi" <brian@poiholdings.com>

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