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| From | John Antonakis <John.Antonakis@unil.ch> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: about ivregress |
| Date | Wed, 29 Aug 2012 20:42:47 +0200 |
reg3 (y x1 x2 x5 ) (x2 x3 x4 x1) (x5 x6 x7 x1), 2slsUnder some circumstances you'd be fine putting x1 in the y equation, but not in the x2 and x5 equation. Though it is always safer to put x1 in all equations. For details see:
Baltagi, B. H. (2002). Econometrics. New York: Springer.See also: http://www.stata.com/support/faqs/statistics/instrumental-variables-regression/
Best, J. __________________________________________ Prof. John Antonakis Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 29.08.2012 18:59, John Antonakis wrote:
Welcome.Though I must have been very tired that day because the second sem code was incorrect, even after my second mea culpa. The first sem code, with ", covstructure(e._OEn)" was right. For the second one, if you wish to explicit correlate the disturbances you should do ", covstructure(e.x2*e.x5 e.y*x2 e.y*x5)". The Wald postestimation test of the covariance = 0 would be the Hausman test.Best, J. __________________________________________ Prof. John Antonakis Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 29.08.2012 02:29, Lynn Lee wrote: >> Thank you, Prof. Antonakis. My model has two endogenous variables and each> has its own instrumental variables. Your suggestion really solves my > question. > > At same time, thank Kit and Justina for kind reminder. > > Best Regards, > Lynn Lee > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis> Sent: Tuesday, August 28, 2012 1:14 AM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: about ivregress >> [Double Oops. Sorry about this.....I just realized that I messed up with the> sem command too; the disturbances must be correlated. Here goes again. > Apologies for my oversight: > >> 1. Oops one: There was a typo in the Three-stage least square command, which > should have 3sls (the default, thus it does not even need to be written,> instead of 2sls) > > 2. Oops two: in the sem command, you must correlate cross-equation> disturbances; else, the estimator will not be an instrumental variable one.]> > It does; as Kit suggested "varlist" is a list of (n) variables. Try: > > ivregress 2sls y x1 (x2 x5 =x3 x4 x6 x7) >> If you want to specify your model precisely as indicated below, you'll need> to use reg3 or sem: > > Two-stage least squares estimator > reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 2sls > > Three-stage least squares estimator > reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 3sls > > You can test overidentifying restrictions with the userwritten -overid- > command. > > You can estimated this with -sem- too, Maximum likelihood: > > sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7), covstructure(e._OEn) > > or more specifically: > > sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7), covstructure(e.x2*e.x5) >> The covariance e.x2*ex5 is the Hausman test (see: Antonakis, J., Bendahan,> S., Jacquart, P., & Lalive, R. (2010). On making causal > claims: A review and recommendations. The Leadership Quarterly, 21(6), > 1086-1120) > > You can also add ", vce(robust)" to the sem command. > > This should help, > J. > > __________________________________________ > > Prof. John Antonakis > Faculty of Business and Economics > Department of Organizational Behavior > University of Lausanne > Internef #618 > CH-1015 Lausanne-Dorigny > Switzerland > Tel ++41 (0)21 692-3438 > Fax ++41 (0)21 692-3305 > http://www.hec.unil.ch/people/jantonakis > > Associate Editor > The Leadership Quarterly > __________________________________________ > > On 28.08.2012 19:05, Lynn Lee wrote: >> >> The example provided in help document is " ivregress 2sls rent >> pcturban (hsngval = faminc i.region)", which indicates the endogenous >> variable is "hsngval" and the number of endogenous variable is one. >> Now, my model has two endogenous variables, "ivregress 2sls y x1 >> (x2=x3 x4) (x5=x6 > x7)", this >> command is wrong. I am wondering whether there is command that > handles two>> endogenous variables x2 and x5 at same time. Thanks for any suggestion.>> >> Best Regards, >> Lynn Lee >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Christopher Baum >> Sent: Monday, August 27, 2012 1:41 PM >> To: statalist@hsphsun2.harvard.edu >> Subject: re: st: about ivregress >> >> <> >> Lynn said: >> >> My estimation model has two endogenous explanatory variables > (cross-section >> data set). The command "ivregress 2sls" or "ivregress gmm" are > suitable for >> one endogenous variable. What specific command I can use if I want to > handle >> these two endogenous variables at same time in Stata? And what > command for >> handling more than one endogenous variables in panel data is used? >> >> >> The syntax for -ivregress- is >> >> >> ivregress estimator depvar [varlist1] (varlist2 = varlist_iv) > [if] >> [in] [weight] [, options] >> >> Note that -varlist2- is a varlist, not a varname. Thus you may put as > many >> variables as you wish into -varlist2-, s.t. the order condition for >> identification, which requires that -varlist_iv- has at least as many >> elements as -varlist2-. >> >> In panel data, use -xtivreg-, which uses the same syntax. >> >> For a broader set of features, -ssc desc ivreg2- and -ssc xtivreg2- > and the >> two Stata Journal papers by Baum, Schaffer, Stillman referenced in >> their help files. >> >> Kit >> >> Kit Baum | Boston College Economics & DIW Berlin | >> http://ideas.repec.org/e/pba1.html >> An Introduction to Stata Programming | >> http://www.stata-press.com/books/isp.html >> An Introduction to Modern Econometrics Using Stata | >> http://www.stata-press.com/books/imeus.html >> >> >> * >> * 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: >> * 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: > * 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: > * 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: > * 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: > * 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: * 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: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/