Dear John and Mark,
thank you very much for your suggestion. Unfortunately the modell I want to estimate contains two endogeneous variables (each as a dependent variable of my two equations), therefore I conclude that -cmp- might not be the right option for my "problem"... I think, I will estimate the modell in three different ways (OLS, 2SLS, 3SLS) and simply compare the results, mentioning the heteroscedasticity problem as a topic for further research.
Kind regards,
Wiebke
----- Original Message ----
From: "Schaffer, Mark E" <[email protected]>
To: [email protected]
Sent: Wednesday, September 9, 2009 6:00:39 PM
Subject: RE: st: 3SLS / Three Stage with heteroscedasticity robust errors
Wiebke, John,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> John Antonakis
> Sent: Wednesday, September 09, 2009 4:52 PM
> To: [email protected]
> Subject: Re: st: 3SLS / Three Stage with heteroscedasticity
> robust errors
>
> Hi:
>
> Use Roodman's cmp. It allows you to estimate systems of
> equations using
> ML with heteroskedastic robust SEs. Do -ssc install cmp-.
Good suggestion, and hopefully Wiebke's problem is recursive. From the
-cmp- help file:
"Recursive" means, however, that cmp can only fit sets of equations with
clearly defined stages, not ones with simultaneous causation. A and B
can be modeled determinants of C and C a determinant of D--but D cannot
be a modeled determinant of A, B, or C.
Cross fingers!
--Mark
> HTH,
> J.
>
> Roodman, D. (2008). Cmp: Stata module to implement conditional
> (recursive) mixed process estimator.
> http://ideas.repec.org/c/boc/bocode/s456882.html.
>
> ____________________________________________________
>
> Prof. John Antonakis
> Associate Dean Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
>
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
>
> Faculty page:
> http://www.hec.unil.ch/people/jantonakis&cl=en
>
> Personal page:
> http://www.hec.unil.ch/jantonakis
> ____________________________________________________
>
>
>
> On 09.09.2009 17:47, Wiebke Schlanbusch wrote:
> > Dear Statalist-ers,
> >
> > for my diploma thesis I want to estimate a simultaneous
> equations model with different data samples using -reg3-. I
> tested all my single equations on heteroscedasticity using
> -ivreg2- for the equations and -ivhettest- for the test. Some
> of my equations turn out to be heteroscedastic and other
> not... Therefore I would like to estimate the 3SLS models
> using robust errors, which is not implemented. Someone
> suggested to programm it in Stata, but unfortunately my
> programming skills are not worth mentioning nor do I have the
> programming manual. This is why I am asking if anyone ever
> did this "robust errors three stage"-programming and might be
> so kind to help me with the code.
> >
> > (I am currently using Stata 10.1)
> >
> > Kind regards,
> > Wiebke Schlanbusch
> >
> >
> >
> >
> > *
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> > * http://www.ats.ucla.edu/stat/stata/
> >
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>
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