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From |
DE SOUZA Eric <eric.de_souza@coleurope.eu> |

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

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

Date |
Sat, 6 Feb 2010 18:02:58 +0100 |

If you solve your SEM, you will see that m1 and m2 are exogenous for the block y, x1, x2 Eric de Souza College of Europe BE-8000 Brugge (Bruges) Belgium -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis Sent: 06 February 2010 16:07 To: statalist@hsphsun2.harvard.edu Subject: Re: st: re: How to correct standard errors of a 2sls performed by Hi Kit: One difference is that x1 is entirely dependent on endogenous variables; so my naive question here is: which predicted values of x1 and x2 are included in Eq. 2 and 3 respectively (also knowing that x1 and x2 predict each other and that x1 has no unique instruments that predict it directly)? Thanks, John. ____________________________________________________ Prof. John Antonakis, Associate Dean Faculty of Business and Economics 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 14:47, Kit Baum wrote: > <> > John writes > > how does one do single-equation > estimation with in the context of a non-recursive system. Again, here > is the example: > > 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 > > The predicted value of x2 enters in Eq. 2; however, the predicted > value of x1 enters in Eq. 3. So, how does one go about estimating this > non-recursive model using a single-equation estimator? > > > In the textbook example used to motivate 2SLS, we write down a demand equation and a supply equation, both of which contain Q and P along with demand shifters and supply shifters. How is that different from eq2-3? > > Q = b0 + b1 P + b2 Y + e > P = g0 + g1 Q + g2 R + g3 T + v > > with Y=income, R=rainfall, T=temperature. > > Those who developed IV / 2SLS were able to consistently estimate these equations by limited-information (single-equation) before systems estimators were devised. For that matter LIML could be used to estimate these equations as well (in either -ivregress- or -ivreg2- from SSC). > > 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/ * * 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/

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

**Re: st: re: How to correct standard errors of a 2sls performed by***From:*John Antonakis <john.antonakis@unil.ch>

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