Luis,
Quoting Luis Fernandes Rodrigues <[email protected]>:
> Hello Kit
>
> In the end of your reply you stressed that a version of ivreg2 is
> currently
> under development which will provide 'ivgmmN', allowing for
> arbitrary
> heteroskedasticity and serial correlation in the error process.
>
> This will be a enormous help for the research four which I need to
> go
> frequently out of Stata. Do you know something more about its
> availability
> or other GMM procedures already available?
If you contact me directly by email, I can send you a working beta
version. It implements a variety of heteroskedastic and autocorrelation-
robust (HAC) estimators for single-equation IV/GMM estimation using the
Barlett (aka Newey-West), Parzen, Tukey-Hanning, quadratic spectral, or
truncated kernels. It needs a couple of tweaks in the code that checks for
collinearity between instruments and a revised help file, but is otherwise
suitable for use (=testing) by a real user (=you).
--Mark
>
>
>
> Thanks
>
>
>
> Luis
>
>
> ----- Original Message -----
> From: "Christopher F Baum" <[email protected]>
> To: <[email protected]>
> Sent: Wednesday, August 06, 2003 12:24 PM
> Subject: st: Re: ivreg2 use
>
>
> > On Wednesday, August 6, 2003, at 02:33 AM, Busakom wrote:
> >
> > >
> > > I have two simultaneous equations:
> > >
> > > (1) y1 = a0*y2 + a1*x1 + a2*x2 + a3*x3 + e
> > > (2) y2 = b0*y1 + b1*z1 + b2*z2 + b3*z3 + u
> > >
> > > The variables are first-differences. As I understand,
> > > I can perform 2SLS by using ivreg2:
> > >
> > > ivreg2 y1 x1 x2 x3 (y2 = z1 z2 z3)
> > >
> > > My problem is slightly more complicated than this.
> > > What if, in each equation, there is a lag dependent
> > > variable:
> > >
> > > (3) y1 = a0*y2 + a1*x1 + a2*x2 + a3*x3 + a4*Ly1 + e
> > > (4) y2 = b0*y1 + b1*z1 + b2*z2 + b3*z3 + b4*Ly2 + u
> > >
> > > Here, Ly1 is correlated with e, and Ly2 is correlated
> > > with u. I plan to instrument Ly1 with L2y1
> > > (two-period lag of y1) and Ly2 with L2y2 (two-period
> > > lag of y2).
> > >
> > > I believe I can still use ivreg2 to deal with this
> > > problem. My question is whether the following command
> > > syntax is correct?
> > >
> > > ivreg2 y1 x1 x2 x3 (y2 Ly1 Ly2 = z1 z2 z3 L2y1 L2y2)
> > >
> > > And is -ivreg2, gmm- is the same as -ivgmm0-?
> >
> > Almost correct. You should disabuse yourself of the notion that
> "this
> > is an instrument for that"; as frequently mentioned on this list
> and in
> > the cited Stata FAQ, instrumental variables estimators do not work
> that
> > way. All of the Z variables are instruments for all of the
> included Y
> > variables. That said, what about your proposed regression?
> >
> > Your first equation contains regressors y2, x1-x3, and Ly1. It
> does not
> > contain Ly2, so Ly2 should not be present in the included
> endogenous
> > list to the left of the equals sign, or it will appear as a
> regressor
> > in the equation, which presumably it should not. The instrument
> list is
> > correct, if your assertion that the second lags are orthogonal to
> e and
> > u is warranted. This can be tested with a diff-Sargan test
> (ivreg2
> > orthog option). Note that ivreg2 will report that the
> instruments
> > include x1, x2, x3 plus those you have specified (and constant) --
> and
> > that is correct. The included exogeneous variables are indeed
> > instruments as well.
> >
> > ivreg2, gmm is essentially the same estimator as the earlier
> ivgmm0. A
> > version of ivreg2 is currently under development which will
> provide
> > 'ivgmmN' -- that is, allowing for arbitrary heteroskedasticity
> and
> > serial correlation in the error process. ivgmm0 (and its
> implementation
> > within ivreg2) only allows for the former.
> >
> > Kit
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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