Re: st: question about 3sls using the reg3 command

[John Antonakis <john.antonakis@unil.ch>]

Hi:

As Austin [hesitantly] suggested, you should use -cmp-, and this, 
particularly because it is clear that you have ordered probits as 
dependent variables (so, whatever the limitations are for using OLS with 
ordered categorical data apply here).

The one limitation with -cmp- is that it does not provide tests of 
overidentification. Mplus is a program that could correctly estimate 
this model.

HTH,
J.

____________________________________________________

Prof. John Antonakis, Associate Dean 
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:
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Personal page:
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____________________________________________________



On 21.05.2010 03:13, JOSE A ALEMAN wrote:
> Hi Austin,
>
> To answer your question, my dependent variables can only take the values 0,
> 1, 2, 3, 4, 5, 6, 7, or 8 in one case, and 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 or
> 10 in the other. How would this affect estimation?
>
> Thanks,
>
> Jose
>
>
>
>                                                                            
>              Austin Nichols                                                
>              <austinnichols@gm                                             
>              ail.com>                                                   To 
>              Sent by:                  statalist@hsphsun2.harvard.edu      
>              owner-statalist@h                                          cc 
>              sphsun2.harvard.e                                             
>              du                                                    Subject 
>                                        Re: st: question about 3sls using   
>                                        the reg3 command                    
>              05/20/2010 08:55                                              
>              PM                                                            
>                                                                            
>                                                                            
>              Please respond to                                             
>              statalist@hsphsun                                             
>                2.harvard.edu                                               
>                                                                            
>                                                                            
>
>
>
>
> JOSE A ALEMAN <aleman@fordham.edu> :
> In short, no, but see
> http://www.cgdev.org/content/publications/detail/1421516
>
> -reg3- is for linear models, like OLS or -ivreg2-, and ordinal or
> fractional or nonnegative dependent variables present problems; there
> are several alternative approaches which are not very appealing, but
> -cmp- is probably your bet best.  You should probably compare your
> output there to the closest linear analog of each model using -ivreg2-
> since -ivreg2- will give you a wealth of specification tests and
> simple interpretations (all of which will be wrong, but might be
> approximately right, given the hypothesized nonlinearity).
>
> Do your dependent variables take on any real value between 0 and N, or
> integers or some other small subset, and are the endpoints included?
> l.e. is y1 in [0,8] or (0,8) or {0,1,...8} or what?  These are
> important distinctions...
>
> On Thu, May 20, 2010 at 6:52 PM, JOSE A ALEMAN <aleman@fordham.edu> wrote:
>   
> > Dear all,
> >
> > I would like to estimate a system of simultaneous equations where my
> > dependent variables are both intervals (one from 0 to 8 and the other
> >     
> from
>   
> > 0 to 10). Each dependent variable is endogenous to the other in the
> >     
> system
>   
> > of equations. My question is if the stata command reg3 works with such
> > nonlinearities? If so, is there a reference text/document that explains
> > this model and provides formulas that depict how estimation is achieved?
> >
> > Thank you,
> >
> > Jose A. Aleman, Ph.D.
> > Assistant Professor
> > Political Science Department
> > Fordham University
> > http://faculty.fordham.edu/aleman
> >     
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