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From |
Jennifer Leavy <[email protected]> |

To |
"Statalist ([email protected])" <[email protected]> |

Subject |
st: how to adjust covariance matrix in two-stage model using svy (and iv)? |

Date |
Fri, 28 Mar 2008 16:33:45 +0000 |

Dear Statalisters I am trying to estimate a model of market participation (sellers, non-sellers: given that someone sells, how much are they selling?) addressing the following issues: i) complex survey design (PSUs and pweights only) ii) sample selection bias iii) potential reverse causality between regressors and dependent variable To be able to use instrumental variables I think I will need to estimate the model in two steps (�by hand�) rather than using the heckman command. However, because of the inverse mills ratio in the outcome equation, this means that I also need to make an adjustment to the covariance matrix of the outcome equation so that I get correct standard errors. I�ve looked through stata FAQs and statalist and trawled the internet and the closest I can find to what I want to do is set out below, minus the IV part of the estimation for now for simplicity (I took the syntax from Vince Wiggins' FAQ post "Must I use all of my exogenous variables as instruments when estimating instrumental variables regression?") However, there is a problem in that by using svy:regress Stata does not seem to give e(rmse) so the new Vmatrix ends up empty. Is there a way of recovering the estimated rmse so I can plug it into the formula? Or is there a better way for me to do this? I have been grappling with this for some time, so any help (solutions or encouragement to let this one go) very much appreciated. Many thanks Jennifer The syntax: /*selection equation*/ svy: probit y2 x w predict Z, xb /*fitted values*/ gen mills=normden(Z)/norm(Z) /*Outcome equation*/ svy: regress y1 mills x if y2==1 set more off rename Z y2hold rename y2 Z predict double res, residual rename Z y2 rename y2hold Z replace res=res^2 summ res scalar realmse = r(mean)*r(N)/e(df_r) matrix bmatrix = e(b) matrix Vmatrix = e(V) matrix Vmatrix = e(V) * realmse /e(rmse)^2 /*stata does not return e(rmse) - dividing by zero in that case*/ ereturn post bmatrix Vmatrix, noclear /*so the Vmatrix is empty*/ ereturn display * * 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/

**Follow-Ups**:**Re: st: how to adjust covariance matrix in two-stage model using svy (and iv)?***From:*"Austin Nichols" <[email protected]>

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