Re: st: question about 3sls using the reg3 command

[JOSE A ALEMAN <aleman@fordham.edu>]

Hi Austin,

To answer your question, my dependent variables can only take the values 0,
1, 2, 3, 4, 5, 6, 7, or 8 in one case, and 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 or
10 in the other. How would this affect estimation?

Thanks,

Jose



                                                                           
             Austin Nichols                                                
             <austinnichols@gm                                             
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                                       Re: st: question about 3sls using   
                                       the reg3 command                    
             05/20/2010 08:55                                              
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JOSE A ALEMAN <aleman@fordham.edu> :
In short, no, but see
http://www.cgdev.org/content/publications/detail/1421516

-reg3- is for linear models, like OLS or -ivreg2-, and ordinal or
fractional or nonnegative dependent variables present problems; there
are several alternative approaches which are not very appealing, but
-cmp- is probably your bet best.  You should probably compare your
output there to the closest linear analog of each model using -ivreg2-
since -ivreg2- will give you a wealth of specification tests and
simple interpretations (all of which will be wrong, but might be
approximately right, given the hypothesized nonlinearity).

Do your dependent variables take on any real value between 0 and N, or
integers or some other small subset, and are the endpoints included?
l.e. is y1 in [0,8] or (0,8) or {0,1,...8} or what?  These are
important distinctions...

On Thu, May 20, 2010 at 6:52 PM, JOSE A ALEMAN <aleman@fordham.edu> wrote:
> Dear all,
>
> I would like to estimate a system of simultaneous equations where my
> dependent variables are both intervals (one from 0 to 8 and the other
from
> 0 to 10). Each dependent variable is endogenous to the other in the
system
> of equations. My question is if the stata command reg3 works with such
> nonlinearities? If so, is there a reference text/document that explains
> this model and provides formulas that depict how estimation is achieved?
>
> Thank you,
>
> Jose A. Aleman, Ph.D.
> Assistant Professor
> Political Science Department
> Fordham University
> http://faculty.fordham.edu/aleman
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