Dear Martin,
I am referring to the post:
http://www.stata.com/statalist/archive/2003-09/msg00585.html where this
procedure is suggested. I should add that I am using Stata 10. I try to
re-write the commands used:
1) program IVQRestimates
2) reg endogvar instrument1 instrument2 X1 X2 X3 X4, robust
3) predict double IVendogvar, xb
4) sqreg Y IVendogvar X1 X2 X3 X4, quantiles(10,30,50,70,90)
5) end
6) bootstrap "IVQRestimates" _b, reps(100) dots
> <>
>
> " bootstrap "IVQRestimates" _b, reps(100) dots"
>
> This is not your call to -bootstrap- the command "IVQRestimates", is it?
> It
> does not follow the syntax explained in -h bs- (where the command in
> question goes after the colon).
"IVQRestimates" is just a possible name for the program that I have run.
The final bootstrap on the program should allow to get bootstrapped
standard errors for both the stages.
>
> " The other problem is that after using this procedure, Stata does not
> recognize the quantiles,"
>
> What do you mean by that? -sqreg- does leave behind the coefficient vector
> and the associated varcov, so you can -test- afterwards:
I am again referring to boostrap of the whole program. Stata displays the
final output calling the variables b_X1 b_2X2 and so on and there seems no
way to recall them in order to run the Wald tests. That is why I wondered
whether there was an alternative procedure to run it or, simply, a way to
compute the test manually.
> ***
> sysuse auto, clear
> sqreg price weight length foreign, quantile(.25 .5 .75)
> te [q25=q50]
> ***
>
> Since you instructed -bootstrap- to save only the coefficients ("_b"), why
> do you expect that a -test- procedure would be possible afterwards?
I have just applied the procedure suggested in the previous post on the
same topic. Should I add any other option?
Thanks again,
Francesco
> HTH
> Martin
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von Francesco
> Burchi
> Gesendet: Dienstag, 15. Dezember 2009 12:42
> An: [email protected]
> Betreff: st: IV Quantile Regression and Test of Equality
>
> Dear Statalisters,
>
> I am applying instrumental variable quantile regression due to the
> endogeneity of one explanatory variable (endgovar). I am using two
> instrumental variables (instrument1 and instrument2). I have followed the
> procedure already highlighted in previous posts, that is:
>
> program IVQRestimates
> reg endogvar instrument1 instrument2 X1 X2 X3 X4, robust
> predict double IVendogvar, xb
> sqreg Y IVendogvar X1 X2 X3 X4, quantiles(10,30,50,70,90)
> end
> bootstrap "IVQRestimates" _b, reps(100) dots
>
> Unfortunately, Stata gives me the message "insufficient observations to
> compute bootstrap standard errors. no results will be saved" There is
> clearly no problem of total number of observations since they are more
> than
> 6000. I have tried different specifications of the model, but the
> algorithm
> still does not converge. However, when I have included just one of the two
> instrumental variables, it finally produced the results. Do you have any
> explanation of this? I would be really glad to have suggestions on how to
> obtain my results keeping both the instruments.
>
> The other problem is that after using this procedure, Stata does not
> recognize the quantiles, thus I cannot automatically run the Wald tests to
> test the equality of coefficients across different quantiles. Do you have
> any suggestions on this? Or, could you simply tell me how I could compute
> the test by hand?
>
> Thanks,
> Francesco
>
>
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>
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>
--
Francesco Burchi
Post-doctoral Research Fellow
Roma Tre University
Department of Economics
Email: [email protected]
Mobile: 0039 3471790717
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