Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Jordana Rodrigues Cunha <jordana.rodrigues@unibo.it> |

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

Subject |
st: -cmp for mixed and nonrecursive process? |

Date |
Wed, 24 Nov 2010 15:14:36 +0000 |

Dear statalisters, I really need your help, seems that this is an impossible mission. I have consulted all the precedent faq's to arrive until here, but without success. I am estimating the effects of X, Z and W over Y, where they are (in sequence): a dummy, an ordinal, a dummy and a continuous variable. The three independent variables are linked by a nonrecursive looping, meaning that they are linked by reciprocal feedbacks: X determines Z and W, as well as Z determines X and W and W determines Z and Y. X = a1+ bZ + cW + λ1Controls + e1; (binary dummy that varies from 0 to 1) Z = a2 + dX + eW + λ2Controls + e2;(ordinal variable that varies form 1 to 5) W = a3 + fX + gZ + λ3Controls + e3 ; (binary dummy that varies from 0 to 1) the full model would be: Y = a4 + hX + iZ + jW + λ4Controls + e4 (continuous variable) I have made simple probits and ordered probits to check the relationship among the independent variables and I executed -cmp models to check the correlations among their error terms (in pairs of variables), confirming that they were really non-independent of each other. The problem is that as -cmp doesn't allow for reciprocal interaction among the variables and I included the second variable in the first equation and omitted the first variable in the second equation and so on. I have run, a naive OLS where the coefficients of X and Z were significant but not the coefficient of W. I think that the best would run a SEM to use the 3 equations of X, Z and W with the fourth Y in the full model structured to allow for endogeneity but I have two main problems: 1- I cannot execute a Hausmann test ( to check for endogeneity in the full model) because when I ask for the residuals prediction after running oprobit (for estimate the variable Z) this option is not allowed and so I cannot regress the full model with the residual of Y and check the significance of its coefficient. 2- I have four different functional distributions and so if I would like to do 2sls or 3sls in different stages I wouldn't know how to indicate the nature of the distribution for each variable and 3sls assumes that all the variables are continuous, right? 3 - I am using the same controls in all the equations, this could be a problem? Please, somebody could give me an advice? I hope I had been clear in explaining, thank you all in advance, jordana * * 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: -cmp for mixed and nonrecursive process?***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

- Prev by Date:
**Re: st: duplicates for one variable** - Next by Date:
**st: using apc_ie with survey data** - Previous by thread:
**st: selection with panel data - which model would work?** - Next by thread:
**Re: st: -cmp for mixed and nonrecursive process?** - Index(es):