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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Averaging coefficinets across reg3 output |

Date |
Tue, 12 Jul 2011 09:00:53 +0200 |

Sorry, forget about my previous answer. You already have everything in one model. So you can just use -lincom- to compute the average coefficient and its standard error: *---------------- begin example ------------------- // get data webuse supDem, clear // estimate the model global demand "(qDemand: quantity price pcompete income)" global supply "(qSupply: quantity price praw)" reg3 $demand $supply, endog(price) // see how coefficients are called reg3, coefl // compute the average effect of price lincom (_b[qDemand:price] + _b[qSupply:price] )/2 *-------------------- end example ----------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) -- Maarten On Tue, Jul 12, 2011 at 8:53 AM, Maarten Buis wrote: > As a general strategy I would stack the data and estimate the entire > system in one model with interaction terms to allow T and X to have > different effects for different equations. I would use effect coding > for those dummies (see for example: -findit xi3-), such that the main > effects of T and X are the effects for an "average" equation. I don't > know how well that works with models like -reg3- though. > > -- Maarten > > On Mon, Jul 11, 2011 at 6:29 PM, Guy Grossman wrote: >> Hi - >> >> I am reposting a question that was not responded. Assistance would be >> highly appreciated. In short, I am using Stata 11.2 on mac to estimate >> 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 Y1-Yk 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. My goal is to conduct the following analysis: >> >> 1. calculate a mean effect value that captures the average >> relationship between T and the K different outcomes that belong to the >> same family >> >> 2. calculate the standard error of the mean effect value 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 effect of the 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 to stages (2) and (3). >> suggestions would be highly appreciated! >> Regards, >> Guy >> >> >> _____________________________ >> Guy Grossman >> Dept. of Political Science >> Columbia University, NY >> www.columbia.edu/~gsg2102 >> >> * >> * 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/ >> > > > > -- > -------------------------- > Maarten L. Buis > Institut fuer Soziologie > Universitaet Tuebingen > Wilhelmstrasse 36 > 72074 Tuebingen > Germany > > > http://www.maartenbuis.nl > -------------------------- > -- -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/

**Follow-Ups**:**Re: st: Averaging coefficinets across reg3 output***From:*Guy Grossman <guygrossman1@gmail.com>

**References**:**st: Averaging coefficinets across reg3 output***From:*Guy Grossman <guygrossman1@gmail.com>

**Re: st: Averaging coefficinets across reg3 output***From:*Maarten Buis <maartenlbuis@gmail.com>

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