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Re: st: Averaging coefficinets across reg3 output


From   Guy Grossman <guygrossman1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Averaging coefficinets across reg3 output
Date   Tue, 12 Jul 2011 13:00:11 -0400

Thanks Maarten - this is exactly what I needed.
Cheers, Guy

On Tue, Jul 12, 2011 at 3:00 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
>
> Sorry, forget about my previous answer. You already have everything in
> one model. So you can just use -lincom- to compute the average
> coefficient and its standard error:
>
> *---------------- begin example -------------------
> // get data
> webuse supDem, clear
>
> // estimate the model
> global demand "(qDemand: quantity price pcompete income)"
> global supply "(qSupply: quantity price praw)"
> reg3 $demand $supply, endog(price)
>
> // see how coefficients are called
> reg3, coefl
>
> // compute the average effect of price
> lincom (_b[qDemand:price] + _b[qSupply:price] )/2
> *-------------------- end example -----------------
> (For more on examples I sent to the Statalist see:
> http://www.maartenbuis.nl/example_faq )
>
> -- Maarten
>
> On Tue, Jul 12, 2011 at 8:53 AM, Maarten Buis wrote:
> > 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
> > --------------------------
> >
>
>
>
> --
> --------------------------
> 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/

*
*   For searches and help try:
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