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Re: st: 3SLS / Three Stage with heteroscedasticity robust errors

From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: 3SLS / Three Stage with heteroscedasticity robust errors
Date   Wed, 9 Sep 2009 11:57:09 -0400

Wiebke Schlanbusch --
But note -cmp- only handles "triangular" or "recursive" systems and
requires distributional assumptions, whereas -ivreg2- is consistent
under a smaller set of assumptions for a set of linear models, and
supports an enormous variety of SE calculations.  Just estimate one
equation at a time.

On Wed, Sep 9, 2009 at 11:52 AM, John Antonakis<[email protected]> wrote:
> Hi:
> Use Roodman's cmp. It allows you to estimate systems of equations using ML
> with heteroskedastic robust SEs. Do -ssc install cmp-.
> HTH,
> J.
> Roodman, D. (2008). Cmp: Stata module to implement conditional (recursive)
> mixed process estimator.
> On 09.09.2009 17:47, Wiebke Schlanbusch wrote:
>> Dear Statalist-ers,
>> for my diploma thesis I want to estimate a simultaneous equations model
>> with different data samples using -reg3-. I tested all my single equations
>> on heteroscedasticity using -ivreg2- for the equations and -ivhettest- for
>> the test. Some of my equations turn out to be heteroscedastic and other
>> not... Therefore I would like to estimate the 3SLS models using robust
>> errors, which is not implemented. Someone suggested to programm it in Stata,
>> but unfortunately my programming skills are not worth mentioning nor do I
>> have the programming manual. This is why I am asking if anyone ever did this
>> "robust errors three stage"-programming and might be so kind to help me with
>> the code.
>> (I am currently using Stata 10.1)
>> Kind regards,
>> Wiebke Schlanbusch
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