Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

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

From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: disequilibrium model |

Date |
Mon, 22 Apr 2013 11:21:32 +0000 |

Matt, -movestay- by Lokshin and Sajaya estimates the kind of "switching-regression" model you are working with - see description below. Playing with the -findit- turned up some other options, e.g., switchr (Zimmerman) and ssm (Miranda and Rabe-Hesketh). HTH, Mark movestay uses the maximum likelihood method to estimate the endogenous switching regression model. It is implemented using the d2 evaluator to calculate the overall log likelihood together with its first and second derivatives. movestay estimates all of the parameters in the model: (regression equation for regime 1: y1 is depvar1, x1 is varlist1) y1 = x1 * b1 + e_1 (regression equation for regime 2: y2 is depvar2, x2 is varlist2) y2 = x1 * b2 + e_1 (selection equation: Z is varlist_s) y1 observed if Zg + u > 0 y2 observed if Zg + u <= 0 where: e_1 ~ N(0, sigma1) e_2 ~ N(0, sigma1) u ~ N(0, 1) corr(e_1, u) = rho_1 corr(e_2, u) = rho_2 Here depvar1, depvar2 and varlist1, varlist2 are the dependent variables and regressors for the underlying regression models (y1, y2 = xb), and varlist_s specifies the variables Z thought to determine which regime is observed. > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > statalist@hsphsun2.harvard.edu] On Behalf Of Matt > Sent: 22 April 2013 11:05 > To: statalist@hsphsun2.harvard.edu > Subject: st: disequilibrium model > > Hi, > > I'm current working on the disequilibrium model as in the Maddala and > Nelson (1974). > > Quantity of demand (qDt) = B1X'1t + u1t > Quantity of supply (qSt) = B2X'2t + u2t > Quantity observed (qt) = min (qDt, qSt) > > the model consists of a demand equation qDt, a supply equation qSt, and a > transaction equation qt. > the vectors X'1t and X'2t are exogenous, independent variables, B1 B2 are > their coefficients, u1t and u2t are their disturbances. > > qDt and qSt in this model are the amount of bank debt demanded and > supplied, but they are not observed by any external party. > Only the amount of bank debt which was actually received, the transaction > amount qt can be perceived. > But we don't know if this transaction amount of debt is the agrees to the > amount demanded by the firm or whether it is limited by bank. We don't > know whether the firms in the sample face credit rationing - unknown > sample separation. > > So, to avoid writing the complicated ML programme, i uses 3-stage least > square to estimate the demand and supply model, but i'm confused about > the dependent variable should be used for estimation of demand and supply > equation. Indeed, for the quantity observed (qt) is the short-term bank loans > of the firm as in the balance sheet. But what should be the dependent > variable for qDt and qSt? > > Also, how can i do conditional probability in stata? > > Many thanks if you can answer my query. > > Matt > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ ----- Sunday Times Scottish University of the Year 2011-2013 Top in the UK for student experience Fourth university in the UK and top in Scotland (National Student Survey 2012) We invite research leaders and ambitious early career researchers to join us in leading and driving research in key inter-disciplinary themes. Please see www.hw.ac.uk/researchleaders for further information and how to apply. Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: disequilibrium model***From:*Matt <matt.hong846@gmail.com>

**References**:**st: disequilibrium model***From:*Matt <matt.hong846@gmail.com>

- Prev by Date:
**Re: st: Identify observations within a variable** - Next by Date:
**Re: st: Hierarchical CFA problem** - Previous by thread:
**st: disequilibrium model** - Next by thread:
**Re: st: RE: disequilibrium model** - Index(es):