Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: about ivregress


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: about ivregress
Date   Tue, 28 Aug 2012 08:20:33 +0200

[Oops. There was a typo in the Three-stage least square command, which should have 3sls (the default, thus it does not even need to be written, instead of 2sls)]

It does; as Kit suggested "varlist" is a list of (n) variables. Try:

ivregress 2sls y x1 (x2 x5 =x3 x4 x6 x7)

If you want to specify your model precisely as indicated below, you'll need to use reg3 or sem:

Two-stage least squares estimator
reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 2sls

Three-stage least squares estimator
reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 3sls

You can test overidentifying restrictions with the userwritten -overid- command.

You can estimated this with -sem- too, Maximum likelihood:

sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7)

You can also add ", vce(robust)" to the sem command.

This should help,
J.

__________________________________________

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 28.08.2012 19:05, Lynn Lee wrote:

The example provided in help document is " ivregress 2sls rent pcturban
(hsngval = faminc i.region)", which indicates  the endogenous variable is
"hsngval" and the number of endogenous variable is one. Now, my model has
two endogenous variables, "ivregress 2sls y x1 (x2=x3 x4) (x5=x6
x7)", this
command is wrong. I am wondering whether there is command that
handles two
endogenous variables x2 and x5 at same time.  Thanks for any suggestion.

Best Regards,
Lynn Lee

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
Christopher Baum
Sent: Monday, August 27, 2012 1:41 PM
To: statalist@hsphsun2.harvard.edu
Subject: re: st: about ivregress

<>
Lynn said:

My estimation model has two endogenous explanatory variables
(cross-section
data set). The command "ivregress 2sls" or "ivregress gmm" are
suitable for
one endogenous variable. What specific command I can use if I want to
handle
these two endogenous variables at same time in Stata? And what
command for
handling more than one endogenous variables in panel data is used?


The syntax for -ivregress- is


        ivregress estimator depvar [varlist1] (varlist2 = varlist_iv)
[if]
[in] [weight] [, options]

Note that -varlist2- is a varlist, not a varname. Thus you may put as
many
variables as you wish into -varlist2-, s.t. the order condition for
identification, which requires that -varlist_iv- has at least as many
elements as -varlist2-.

In panel data, use -xtivreg-, which uses the same syntax.

For a broader set of features, -ssc desc ivreg2- and -ssc xtivreg2-
and the
two Stata Journal papers by Baum, Schaffer, Stillman referenced in their
help files.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |
http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |
http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |
http://www.stata-press.com/books/imeus.html


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index