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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Averaging coefficinets across reg3 output |

Date |
Tue, 12 Jul 2011 08:53:03 +0200 |

As a general strategy I would stack the data and estimate the entire system in one model with interaction terms to allow T and X to have different effects for different equations. I would use effect coding for those dummies (see for example: -findit xi3-), such that the main effects of T and X are the effects for an "average" equation. I don't know how well that works with models like -reg3- though. -- Maarten On Mon, Jul 11, 2011 at 6:29 PM, Guy Grossman wrote: > 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/ > -- -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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>

**References**:**st: Averaging coefficinets across reg3 output***From:*Guy Grossman <guygrossman1@gmail.com>

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