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From |
"Jakobsen, Kristian Thor" <kjak@risoe.dtu.dk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Help needed for three-step FGLS estimation |

Date |
Mon, 22 Jun 2009 14:38:05 +0200 |

I am trying to estimate the vulnerability of Nicaraguan households using the three-step FGLS method that has been suggested by Tesliuc and Licndert (2002) and Chauduri et al (2002). But I am having trouble at step three, so I am hoping that somebody can help me out here: We assume that ln c=x$B&B(J+ e, (1) where c is consumption and x is household characteristics. We also assume that the variance of e is given by e^2=x$B&H(J + n (2) I therefore first estimate (1) using OLS. Then I save the squared residuals and regress these with the same household characteristics in order to estimate theta from (2). But now I am lost. I need to transform (1) into: ln c/$B"e(J(x$B&H(J)= x$B&B(J/$B"e(J(x$B&H(J)+ e/$B"e(J(x$B&H(J) But how do I do that? So far I have: .reg logconsum miembros_01 s2p3 s2p4 genage agesq primary secondary /// .university badhouse durindex landsize landsizesq healthaccess /// .schoolaccess childratio oldratio drought pest district_012-district_0117 .[pw=peso2], robust .predict residuals,resid .gen e2=residuals^2 .reg e2 miembros_01 s2p3 s2p4 genage agesq primary secondary university /// .badhouse durindex landsize landsizesq healthaccess schoolaccess .///childratio oldratio drought pest district_012-district_0117 [pw=peso2], .robust .predict yhat And I need to be able to estimate both the expected log consumption (E(ln c|x)=X$B&B(J(hat)) and the variance (V(ln c|x)=X$B&H(J(hat)), so that I can estimate: v=Pr(ln C<ln z|X)= $B&5(J((ln z - x$B&B(J(hat))/ $B"e(J(x$B&H(J)) Can anyone help on how to do the final step in STATA? Cheers Kristian * * 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/

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