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Re: st: Clustering standard errors with Simultaneus regressions.


From   Fernando Rios Avila <f.rios.a@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustering standard errors with Simultaneus regressions.
Date   Tue, 20 Sep 2011 13:08:30 -0400

Hi John
Thank you  verymuch for the tips. and sorry for my typo. The model is
identified, and i should have written it like this:
X= a0+b0*Y+c0*Z0
Y=a1+b1*X+c1*Z1
Unfortunately Stata 12 is still out of the budget. But i ll explore
the -gllamm- command.
Thanks again

On Tue, Sep 20, 2011 at 11:37 AM, John Antonakis <John.Antonakis@unil.ch> wrote:
> I have not received Stata 12; if you have it, the sem command (using the
> maximum likelihood estimator) seems to be able to handle that. Just model
> your variables as observed.
>
> See:
>
> http://www.stata.com/stata12/structural-equation-modeling/
>
> Otherwise, use gllamm.  Findit -gllamm-
>
> Best regards,
> John.
>
> P.S. your system of equations is not identified. You need to have unique
> instruments for x or y to identify the causal effects you want.
>
> __________________________________________
>
> Prof. John Antonakis
> Faculty of Business and Economics
> Department of Organizational Behavior
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor
> The Leadership Quarterly
> __________________________________________
>
>
> On 20.09.2011 17:10, Fernando Rios Avila wrote:
>> Dear Statalisters,
>> I was wondering if anybody can help me with a problem i have encounter.
>> Currently im running a simultaneous equation model that has the following
>> form:
>> X= a0+b0*Y+c0*Z
>> Y=a1+b1*X+c1*Z
>> where Z is my set of exogenous variables.
>> This corresponds to information at the State level, but i wanted to
>> cluster to information at the county level. The problem, however, is
>> that i havent been able to find reference to include cluster when
>> using the -reg3- command in stata.
>> Does anyone know of an alternative for simultaneous equations with
>> cluster errors?
>> Thanks in advance.
>> *
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>> *   http://www.ats.ucla.edu/stat/stata/
>
> *
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>

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