RE: st: RE: kclass estimators, xtivreg2

["Alejandro Quijada" <aquijadab@hotmail.com>]

I'll follow your advise,

Thanks a lot,


> From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: <statalist@hsphsun2.harvard.edu>
> Subject: st: RE: kclass estimators, xtivreg2
> Date: Mon, 5 Mar 2007 23:00:29 -0000
>
> Alejandro,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > Alejandro Quijada
> > Sent: 28 February 2007 13:32
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: kclass estimators, xtivreg2
> >
> > Dear statalist members,
> >
> > Since I have a panel dataset with a problem of errors in
> > variables (EV), I wanted to use the class of estimators
> > proposed by Verbeek and Nijman (1993) and Deaton (1985) which
> > try to correct this kind of problem. Adopting the notation of
> > Verbeek and Nijman (1993), the estimator is given by:
> >
> > B(alpha) = (mxy - alpha*sigma)/(Mxx - alpha*omega)
> >
> > Where Omega and sigma represent the structure on the
> > measurement errors. The correction parameter alpha for
> > Verbeek and Nijman is aproximately T-1/T, while Deaton'
> > correction parameter would be a constant alpha=1.
> >
> > I think xtivreg2 is the indicated stata command to implement
> > these two estimators, since it has the kclass option where
> > you can put the correction parameter like fuller's option
> > does. So, translating these two parameters into xtivreg2's
> > language, I think they would be kclass=1 + (T-1/T) for
> > Verbeek and Nijman and kclass=2 for Deaton. Is that right? if
> > not, could you please guide me? I use stata 8.2.
>
> It's hard to tell without more detail (usually on Statalist you are 
> encouraged to provide fuller references and discussion - you can't count on 
> everybody knowing this literature).  But you are right that xtivreg2 
> supports k-class estimation such as Fuller's LIML, Nagar's bias-corrected 
> IV estimator, etc.  If so, then you can get the results you want using the 
> -kclass- option ... but it's up to you to make sure that the -kclass- 
> parameter is correctly specified.
>
> One alternative if you're not sure is to replicate some published results 
> that use these estimators.
>
> HTH.
>
> Cheers,
> Mark
>
> > Thank you very much for your help
> >
> > Best regards,
> >
> > Susana
> >
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