| |
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: Re: simultaneous equations with fixed effects and robust standard errors
From |
Kit Baum <[email protected]> |
To |
[email protected] |
Subject |
st: Re: simultaneous equations with fixed effects and robust standard errors |
Date |
Wed, 13 Jun 2007 06:38:43 -0400 |
No, your syntax is not correct. All endogenous variables and excluded
instruments must appear in one parenthesized expression in ivreg,
ivregress, xtivreg, ivreg2, xtivreg2:
xtivreg2 maturity (leverage my_binary_var=size profit) dividends
year86-year05, fe robust
If you want to put all 6 binary variables into the same equation, you
will obviously need more instruments. The equation as written above
is exactly identified, and you cannot do tests of overidentifying
restrictions.
Re the justification for this approach: if as I suggested you
searched the Statalist archives, you would find
http://www.stata.com/statalist/archive/2004-07/msg00710.html
You do not need to use probit or logit to generate consistent
estimates of the parameters of the equation as written above.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
On Jun 13, 2007, at 2:33 AM, Duy Hinh Khieu wrote:
Thank you - Kit Baum - very much for your comments. I am not really
sure, however, of what you mean by standard IV estimators in the
context of my model, which is mixed with one continuous endog var
and 6 binary endog variables. If I use the xtivreg2 as follows, can
you tell me if I translate your comments correctly into STATA code:
xtivreg2 maturity (leverage=size profit) (my_binary_var=size
profit ) dividends year86-year05, fe robust endog( leverage
my_binary_var)
I would need to do the bracket part of the code that contains
my_binary_var six times because I have six binary endog variables
and include them all in the above xtivreg2?
The reason why I need to use probit or logit is not because I am
concerned about a consistent estimator, but because I need to do a
two-stage estimates and the first stage involves a binary variable.
Am I right?
If you have a source that states that the first stage estimation
does not need to involve a probit or logit, I'd really appreciate
your giving me that reference. All I have is Maddala (1983), pages
243-245.
*
* 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/