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From |
"Fabia Aparecida de Carvalho" <fabia.carvalho@bcb.gov.br> |

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

Subject |
st: newey for panels |

Date |
Wed, 16 Feb 2005 16:14:46 -0200 |

Hi there, would anyone please tell me which command is more suitable to run GMM in a time series cross section dataset using newey-west covar matrix with the option of defining the maximum autocorrelation lag? My Stata version is 7. Thank you, Fabia Carvalho -----Mensagem original----- De: heisnam singh [mailto:thoihen@yahoo.com] Enviada em: Wednesday, February 16, 2005 4:06 PM Para: statalist@hsphsun2.harvard.edu Assunto: st: St : simultaneous equations with heckman selection Dear statalist, I am trying to estimate a system of 3 equations(rather 4 equations as will become clear). I will write the model down with slight abuse of notations(not differentiating clearly between latent and observed variables) The first equation(or first 2 equations) is a standard Heckman model: Y1=X1b1+u1 and a selection equation Y0=X0b0+u0 where Y1 is observed only if Y0>Y*. The second equation can be one of two types: 1)A censored data model(tobit). Y2=a2Y1+X2b2+u2 where we only observe Y2>0 2) A heterogenous count data model where in the above equation Y2 only takes 0 or positive integer values or explicitly Y2=exp(b12Y1+X2b22+u2) And finally a linear equation: Y3=a3log(Y2)+X3b3+u3 Is there a command or program in stata which allows me to estimate such a system? For example can we estimate a heckman model simultaneouly with a tobit and a linear equation? Or more generally is there a program/command in stata which can estimate a simultaneous system of equations when one of the equation in the system is characterised by the heckman model?Thank you. Thoihen __________________________________ Do you Yahoo!? Take Yahoo! Mail with you! Get it on your mobile phone. http://mobile.yahoo.com/maildemo * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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