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From |
Guy Grossman <guygrossman1@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Averaging coefficinets across reg3 output |

Date |
Mon, 11 Jul 2011 12:29:13 -0400 |

Hi - I am reposting a question that was not responded. Assistance would be highly appreciated. In short, I am using Stata 11.2 on mac to estimate the following system of equations: Y1 = alpha_1*T+beta_1*X +e_1 Y2 = alpha_2*T+beta_2*X +e_2 Y3 = alpha_3*T+beta_3*X +e_3 . . Yk = alpha_k*T+beta_k*X +e_k where Y1-Yk are standardized dependent variables, X is an exogenous covariate and T is a binary endogenous variable, instrumented by Z. I am using reg3 (three-stage estimation). My main interest is the coefficients on T (the alphas). Y1--Yk are thought to be from the same family of outcomes. My goal is to conduct the following analysis: 1. calculate a mean effect value that captures the average relationship between T and the K different outcomes that belong to the same family 2. calculate the standard error of the mean effect value which depends on the variance of of each of the individual alpha and the covariance between alpha_1,k and alpha_1, --k 3. test the cross equation hypothesis that the average effect of the K coefficients equals zero My Stata code starts with: global y1 "(q1: y1 t x)" global y2 "(q2: y2 t x)" global y3 "(q3: y3 t x)" global y4 "(q4: y4 t x)" reg3 $y1 $y2 $y3 $y4, endog(t) exog(z) I am not sure however, how to continue to stages (2) and (3). suggestions would be highly appreciated! Regards, Guy _____________________________ Guy Grossman Dept. of Political Science Columbia University, NY www.columbia.edu/~gsg2102 * * 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: Averaging coefficinets across reg3 output***From:*Maarten Buis <maartenlbuis@gmail.com>

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