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]

From |
Nick Cox <njcoxstata@gmail.com> |

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

Subject |
Re: st: IVQR with two endogenous regressors using -ivqreg- |

Date |
Fri, 31 May 2013 17:57:54 +0100 |

Thanks for the details. I note there is no help file. On your question (2) qui regress `endo' `allinstr' if `touse' predict dhat, xb -dhat- is a predicted response after the previous regression. qui qreg `lhs' `dhat' `inexog' if `touse', q(`quantil') predict iner if `touse', resid -iner- ditto. They should be dropped later in the program, so should be temporary variables. Presumably the program crashed for you before that. Nick njcoxstata@gmail.com On 31 May 2013 17:42, Katie Farrin <kfarrin@gmail.com> wrote: > Thank you, Nick, > > I posted earlier regarding this program and have contacted the author, > but have not heard back. The program is accessible not through Stata > but through an online search (I am not sure why this is the case, > either). > > The (unpublished) Stata Journal article written by Do Won Kwak is > where the author describes the program; I downloaded the program from > this professor's page (requires some scrolling but it's through a link > in the fourth option for "IVQR"): > > http://faculty.chicagobooth.edu/christian.hansen/research/ > > Reference: Kwak, D. (2010). Implementation of instrumental variable > quantile regression (IVQR) methods. Accessible through Kwak's job > market page https://www.msu.edu/~kwakdo/ > > I would prefer to use an IVQR method in my work as I have evidence of > heterogeneity of effects for my regressors of interest; however, I > also have an endogeneity problem. This user-written code is the only > thing I've found so far that I can work with to address such a model. > > On another note, I guess I was also hoping that the conformability > error might be common to instrumental variables methods. I have read > elsewhere (Statalist archives) that it may be due to a variance > covariance matrix operation problem; I have income variables that I > have scaled down (from dollars to thousands of dollars) and several > indicator variables, so it may be an issue of different scale. > However, I'm confused as to why the scale wouldn't be a problem in > previous regressions (using -regress- and -bsqreg-) that I have > performed using the same set of regressors. > > Any help is much appreciated. > > Best, > Katie > > On Fri, May 31, 2013 at 12:24 PM, Nick Cox <njcoxstata@gmail.com> wrote: >> You are in strange territory here. >> >> First, it is hard for anyone else even to look at this code as >> -findit- can't find it and you don't give a location. Longstanding >> Statalist practice is to explain where user-written software can be >> found, as the FAQ does spell out. You do clearly state that you only >> hope for attention from people familiar with the program, but that's >> our convention. (Sometimes people not familiar with a program can look >> inside quickly and say something helpful.) >> >> Second, it sounds as if -ivqreg- creates permanent variables without >> reference to what you asked. Is that documented in the help? It's not >> going to help you at all, but I'll opine that's poor programming >> practice if undocumented, and a sign that you have (what shall we say) >> a program that is work in progress. >> >> Third, if this program is documented then there should be an author >> email for support. I have not been following closely but there have >> been various questions about this program and I've not noticed an >> author replying. If that's so, the clear implication is that the >> author is not on Statalist and it is a good idea to contact him, her >> or them directly. >> >> Nick >> njcoxstata@gmail.com >> >> >> On 31 May 2013 17:08, Katie Farrin <kfarrin@gmail.com> wrote: >>> Hi, Statalisters, >>> >>> I am using the -ivqreg- user-written command to evaluate the effects >>> of source-specific income increases on nutritional outcomes. However, >>> I have two endogenous regressors, a dummy that indicates that a >>> household has chosen to farm tobacco and a (continuous) variable for >>> tobacco profits; these endogenous regressors are clearly related but >>> not the same. >>> >>> I would like to instrument the endogenous dummy variable with GIS data >>> on the distance to the nearest tobacco auction floor and the tobacco >>> profits with the deviation from ten-year average rainfall. I use the >>> following code in Stata: >>> >>> *instumental variables quantile regression >>> ivqreg ln_dietarydiversity maize_thousands emp_inc_thousands >>> bus_profits_thousands livestock_thousands remittances_thousands /* >>> */ ln_price_tomato age_hh_head male married durables_thousands >>> years_education hh_size /* >>> */ chitipa karonga nkhatabay rumphi mzimba kasungu nkhotakota ntchisi >>> dowa salima mchinji dedza ntcheu /* >>> */ mangochi machinga zomba chiradzulu blanytyre mwanza thyolo mulanje >>> phalombe chikwawa nsanje balaka /* >>> */ March April May June August September October November >>> (tobacco_thousands tobacco=deviation_tot_rainfall_wet_2010 >>> dist_auction), robust first >>> >>> I have two questions: >>> (1) when running this code I get a conformability error (r(503)), and >>> I do not know why this is occurring (this is very similar to the code >>> I run for regular QR using -bsqreg- without any problems) - any advice >>> would be greatly appreciated on how to run this code without >>> generating such an error; >>> >>> (2) when I run the code, before the error message, Stata saves two new >>> variables to my working data set, "dhat" and "iner." I have looked at >>> the user-written -ivqreg- but cannot figure out what these are (I am >>> assuming they are predicted values, but of what I do not know because >>> they are not similar in range to my endogenous variable values) - if >>> anyone is familiar with -ivqreg- and could give me some insight as to >>> what these variables are I'd appreciate it. >> * >> * 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/ > * > * 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/ * * 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: IVQR with two endogenous regressors using -ivqreg-***From:*Katie Farrin <kfarrin@gmail.com>

**References**:**st: IVQR with two endogenous regressors using -ivqreg-***From:*Katie Farrin <kfarrin@gmail.com>

**Re: st: IVQR with two endogenous regressors using -ivqreg-***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: IVQR with two endogenous regressors using -ivqreg-***From:*Katie Farrin <kfarrin@gmail.com>

- Prev by Date:
**Re: st: Request regarding conversion of Stata code** - Next by Date:
**Re: st: Bar Graph Chart** - Previous by thread:
**Re: st: IVQR with two endogenous regressors using -ivqreg-** - Next by thread:
**Re: st: IVQR with two endogenous regressors using -ivqreg-** - Index(es):