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From |
Guy Grossman <guygrossman1@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: reg3: averaging across K equations and testing that average coeff equals zero |

Date |
Sat, 9 Jul 2011 13:01:55 -0400 |

Hi - I am hoping someone can assist me with the following question. I am estimating the following system of equations: Y1 = alpha_1*T+beta_1*X +e_1 Y2 = alpha_2*T+beta_2*X +e_2 Y3 = alpha_3*T+beta_3*X +e_3 . . Yk = alpha_k*T+beta_k*X +e_k where Y are standardized dependent variables, X is an exogenous covariate and T is a binary endogenous variable, instrumented by Z. I am using reg3 (three-stage estimation). My main interest is the coefficients on T (the alphas). Y1--Yk are thought to be from the same family of outcomes (say, political participation). I am hoping to conduct the following analysis (similar to the one described in the fantastic Working Paper by Casey, Glennerster and Miguel (2011) "Reshaping Institutions: Evidence on External Aid and Local Collective Action", p. 22) 1. calculate a mean effect index that captures the average relationship between T and the K different outcomes that belong to the same family 2. calculate the standard error of this index which depends on the variance of of each of the individual alpha and the covariance between alpha_1,k and alpha_1, --k 3. test the cross equation hypothesis that the average index of K coefficients equals zero My Stata code starts with: global y1 "(q1: y1 t x)" global y2 "(q2: y2 t x)" global y3 "(q3: y3 t x)" global y4 "(q4: y4 t x)" reg3 $y1 $y2 $y3 $y4, endog(t) exog(z) I am not sure however, how to continue from here. suggestions would be highly appreciated! Regards, Guy * * 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/

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