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From |
John Antonakis <john.antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Re: How to correct standard errors of a 2sls performed by |

Date |
Sat, 06 Feb 2010 14:04:06 +0100 |

Eq1: y = x1 + x2 + z Eq2: x1 = m1 + m2 + x2 + z Eq3: x2 = n1 + n2 + x1 + z Eq4: m1 = q1 + q2 + z Eq5: m2 = p1 + p2 + z

Thanks, John. ____________________________________________________

Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 Faculty page: http://www.hec.unil.ch/people/jantonakis Personal page: http://www.hec.unil.ch/jantonakis ____________________________________________________ On 06.02.2010 13:39, Kit Baum wrote:

On Feb 6, 2010, at 2:33 AM, John wrote:What if the system is non-recursive (with feedback loops) and withmultiple equations, e.g.,y = x1 + x2 + z x1 = m1 + m2 + x2 + z x2 = n1 + n2 + x1 + z m1 = q1 + q2 + z m2 = p1 + p2 + zHere one would need reg3, but how would one ensure consistency ofstandard errors (in the presence of heteroskedasticity), apart frombootstrapping (and Roodman's -cmp- would not here as it is only forrecursive systems)?No, you don't _need_ reg3. A systems estimator is never needed unless you want to impose constraints across equations on the coefficients. There is nothing wrong with limited-information (single-equation) estimation of each equation in turn. A systems estimator can provide efficiency; but on the other hand any misspecification means that every equation's coefficients can become inconsistent if one equation is flawed. Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/

* * 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/

**Follow-Ups**:**RE: st: Re: How to correct standard errors of a 2sls performed by***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

**References**:**st: Re: How to correct standard errors of a 2sls performed by***From:*Kit Baum <baum@bc.edu>

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