Dear STATA users:
The following do file is for estimating a system of simultaneous
equations involving limited dependent and continuous variables using
the two-stage
limited dependent variable (2SLDV) procedure. I am also using a panel
data model to control for unobserved cluster level fixed effects
although my data do not involve time-series observations. To make it
simple I have already
predicted each of the dependent variables in the first stage using
only
exogenous explanatory variables and have saved them in the data file
which is not posted here. The do file here is therefore for the second
stage estimation. It is already framed for estimating the second stage
with
the coefficients to be bootstrapped. But since I am assuming (and
believe)
that the errors across the equations are correlated, I want to use the
Zellner's SUR to estimate the system in this second stage.
But I don't know what syntaxes or codes to add to the do file
already framed. Please note that I still want to keep the
bootstrapping and predicting and including the Mill's ratios as they
are. I am already aware that Stata does not have command for Zellner's
Sur involving panel data models.
I am wondering if any body knows or have heard of any user-written
program to estimate this model.
I look forward to hearing from you.
Regards,
Adane
The file is:
cap prog drop _all
program define myboot, eclass
version 8
tempname b V tmpb
tempvar xb1 xb2 imr12 imr22
*****1***
.xtprobit fallow interhat manhat fertynhat herbiynhat ltlszocu ///
lage edu eduto6 ltlutlsz cwr irrg loxotlsz lwftlsz ///
grazland rrl, re i(loca)
matrix `tmpb' = e(b)
matrix colnames `tmpb' = interhat manhat fertynhat herbiynhat ltlszocu
///
lage edu eduto6 ltlutlsz cwr irrg loxotlsz lwftlsz ///
grazland rrl _cons
matrix coleq `tmpb' = eq1:
matrix `b' = nullmat(`b') , `tmpb'
*****2****
.xtprobit inter fallowhat manhat fertynhat herbiynhat ///
lolszocu lage eduto6 cwr lwfolsz ltluolsz mktdist ///
walkpt4 rrl , i(loca) pa robust
matrix `tmpb' = e(b)
matrix colnames `tmpb' =fallowhat manhat fertynhat herbiynhat ///
lolszocu lage eduto6 cwr lwfolsz ltluolsz mktdist ///
walkpt4 rrl _cons
matrix coleq `tmpb' = eq2:
matrix `b' = `b', `tmpb'
****3****
.xtprobit man fallowhat interhat fertynhat herbiynhat ///
lolszocu lage edu eduto6 irrg cwr lwfolsz ltluolsz ///
publict2 walkpt4 rrl fuel2d1 fuel2d2, i(loca) pa robust
matrix `tmpb' = e(b)
matrix colnames `tmpb' =fallowhat interhat fertynhat herbiynhat ///
lolszocu lage edu eduto6 irrg cwr lwfolsz ltluolsz ///
publict2 walkpt4 rrl fuel2d1 fuel2d2 _cons
matrix coleq `tmpb' = eq3:
matrix `b' = `b', `tmpb'
***4.1****
.xtprobit fertyn fallowhat interhat manhat herbiynhat ///
lolszocu lage eduto6 irrg loxolsz cwr ltluolsz ///
mktdist publict2 walkpt4 rrl mfratio, i(loca) pa robust
matrix `tmpb' = e(b)
matrix colnames `tmpb' =fallowhat interhat manhat herbiynhat ///
lolszocu lage eduto6 irrg loxolsz cwr ltluolsz ///
mktdist publict2 walkpt4 rrl mfratio _cons
matrix coleq `tmpb' = eq4:
matrix `b' = `b', `tmpb'
predict double `xb1', xb
gen double `imr12' = normden(`xb1')/norm(`xb1')
***4.2***
.areg lfertamop `imr12' fallowhat interhat manhat ///
herbiamophat lolszocu lage edu eduto6 loxolsz irrg ///
cwr lwfolsz ltluolsz sex publict2 mktdist walkpt4 ///
rrl mfratio,absorb(loca) robust cluster(loca), if fertamop>0
matrix `tmpb' = e(b)
matrix colnames `tmpb' =imr12 fallowhat interhat manhat ///
herbiamophat lolszocu lage edu eduto6 loxolsz irrg ///
cwr lwfolsz ltluolsz sex publict2 mktdist walkpt4 ///
rrl mfratio _cons
matrix coleq `tmpb' = eq5:
matrix `b' = `b', `tmpb'
***5.1***
.xtprobit herbiyn fallowhat interhat manhat fertynhat ///
lolszocu lage edu eduto6 sex ltluolsz lwfolsz mktdist ///
publict2 walkpt4 rrl mfratio, i(loca) pa robust
matrix `tmpb' = e(b)
matrix colnames `tmpb' = fallowhat interhat manhat fertynhat ///
lolszocu lage edu eduto6 sex ltluolsz lwfolsz mktdist ///
publict2 walkpt4 rrl mfratio _cons
matrix coleq `tmpb' = eq6:
matrix `b' = `b', `tmpb'
predict double `xb2', xb
gen double `imr22' = normden(`xb2') / norm(`xb2')
***5.2***
.xtgls lherbiamop `imr22' fallowhat interhat manhat fertamophat ///
lolszocu lage edu eduto6 sex lwfolsz ltluolsz ///
publict2 walkpt4 rrl mfratio, panel(hetero) i(loca), if herbiamop>0
matrix `tmpb' = e(b)
matrix colnames `tmpb' = imr22 fallowhat interhat manhat fertamophat
///
lolszocu lage edu eduto6 sex lwfolsz ltluolsz ///
publict2 walkpt4 rrl mfratio _cons
matrix coleq `tmpb' = eq7:
matrix `b' = `b', `tmpb'
tempvar es
gen byte `es' = e(sample)
local j = colsof(`b')
matrix `V' = I(`j')
local j : colfullnames(`b')
matrix rownames `V' = `j'
matrix colnames `V' = `j'
ereturn post `b' `V' , esample(`es')
end
set seed 123456
bootstrap "myboot" _b ,reps(70) dots saving(strategystrap) ///
replace noesample
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