I'm not a user of Stata 10 but i have a few remarks on this:
1) It looks like an estimation of AIDS (Almost ideal demand system)
and i don't understand why you try to instrument log price 2.
2) the theorie bhind the specification of price and it's square lnp2
and lnp2^2 as a regressors in item 2 of your system is not clear.
3) Usually what is instrumented is the total expenditure (lnexp) price
are supposed exogenous
4) I guess that NLSUR can not treat endogeneity problem
5) conditional on your price index lnP you have a linear system of
equation and you could estimate it by reg3
6) Finally if a suppose that your specification is correct you still
have a linear system just generate P2=lnp2^2 and replace it on your
system
HTH
AbdelRahmen
2007/11/7, [email protected] <[email protected]>:
> Hi,
>
> I already posted my question last week, but I didn't receive any ideas of
> answer. Maybe I was unclear, so I try again to explain.
>
> I just would like to know if it is possible to treat the problem of endogeneity
> estimating a system of equations (more especially using NLSUR).
> In fact, I suppose some variables to be endogeneous but I don't know how to
> specify my equations of instrumentation (differently from my main system) and
> test the validity of my variables (like with the overid command after ivreg2).
>
> I tried to write a little program estimating the following system of 2
> equations :
> w1 = a1 + a11 lnp1 + b1 lnp2 + b11 * (lnexp - lnP)
> w2 = a2 + a12 lnp2 + b2 lnp2^2 + b12 (lnexp - lnP)
> with lnP = a1 lnp1 + a2 lnp2 + a11*a12 + lnp1*lnp1 + lnp1*lnp2 + lnp2*lnp1 +
> lnp2*lnp2
>
> and I want to instrument the variable lnp2 that I suppose to be endogeneous
> (with 2 instruments : expfd and p1 for example).
> But it doesnt work and I have no idea how to correctly specify it.
>
> Thank you for trying to help me.
>
> val�rie
>
>
> capture program drop nlsurtest
>
> program nlsurtest
> version 10
> syntax varlist(min=5 max=7) if, at(name)
> tokenize `varlist'
> args w1 w2 lnp1 lnp2 lnm expfd p1
>
> tempname a1 a2 a11 a12
> scalar `a1' = `at'[1,1]
> scalar `a2' = `at'[1,2]
> scalar `a11' = `at'[1,3]
> scalar `a12' = `at'[1,4]
>
> tempname b1 b2 b11 b12
> scalar `b1' = `at'[1,5]
> scalar `b2' = `at'[1,6]
> scalar `b11' = `at'[1,7]
> scalar `b12' = `b11'
>
> tempname t1 t2
> scalar `t1' = `at'[1,8]
> scalar `t2' = `at'[1,9]
>
> quietly {
> tempvar toto
> gen double `toto' = `a1' * `lnp1' + `a2' * `lnp2' + `a11' * `a12'
> forvalues i = 1/2 {
> forvalues j=1/2 {
> replace `toto' = `toto' + `lnp`i'' * `lnp`j''
> }
> }
> replace `w1' = `a1' + `a11' * `lnp1' + `b1'*`lnp2' + `b11' * (`lnm' -
> `toto')
> replace `w2' = `a2' + `a12' * `lnp2' + `b2'*`lnp2'^2 + `b12' * (`lnm'
> -
> `toto')
> replace `lnp2' = `t1' * `expfd' + `t2' * `p1' /*instrumentation
> equation*/
>
> }
>
> end
>
> use http://www.stata-press.com/data/r10/food,clear
>
> nlsur test @ w1 w2 lnp1 lnp2 lnexp expfd p1 ,parameters(a1 a2 a11 a12 b1 b2
> b11 ) neq(3) ifgnls
>
>
>
>
>
> *
> * 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/
>
--
AbdelRahmen El Lahga
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
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