st: RE: RE: Re: statalist-digest V4 #3872

["Burak Darbaz" <infinisafricae@hotmail.com>]

Ignore the first part of the question, I made a typo when writing out
instruments, it works perfectly now, sorry.

The question on lincom is still valid though :)

Thanks

Burak Darbaz

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Burak Darbaz
Sent: 06 August 2010 18:26
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Re: statalist-digest V4 #3872

Dear Professor Baum,

Thanks a lot for the answer.

First, in the original specification (unrestricted), I get the following
coefficients
 
F.gnd = .5361618
L.gnd = .4614466

(they are all significant), so they already sum up to approximately one.

Then, when I try to restrict it by using the approach you have shown (D.gnd
on the left hand side and F.gnd-L.gnd on the right hand side), I get
a coefficient FLgnd = .4480393 (significant)

Isn't this a bit off? I mean, it drops from .53 to .44 even though the
unrestricted model's coefficients almost sum up to one.

Besides that, I couldn't manage to use lincom to get the coeff on L.gnd,
however, shouldnt 1-(FLgnd's coefficient) should be enough to get it?

Thanks a lot

Burak Darbaz


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum
Sent: 06 August 2010 15:36
To: statalist@hsphsun2.harvard.edu
Subject: st: Re: statalist-digest V4 #3872

<>
On Aug 6, 2010, at 2:33 AM, Burak wrote:

> I am trying to estimate an hybrid New Keynesian Phillips curve. Currently
I
> am using ivreg2 with the following command
> 
> ivreg2 gnd dum11 dum22 dum33 L.gnd mc (F.gnd = L.gnd L2.gnd L3.gnd L4.gnd
> L.cpi L2.cpi L3.cpi L4.cpi L.rint L2.rint L3.rint L4.rint L.bpfilt
L2.bpfilt
> L3.bpfilt L4.bpfilt L.mc L2.mc L3.mc L4.mc), gmm2s robust bw(auto)
> 
> what I want to do is to preimpose a restriction such that the coefficients
> of L.gnd and F.gnd sum up to one, and then estimate this. Is there a way
to
> do this?



ivreg2 D.gnd dum11 dum22 dum33 mc (FLgnd = L(1/4).gnd etc.

where FLgnd = F.gnd - L.gnd

Works the same way as imposing CRTS algebraically on a two-factor production
fn. The
coefficient on FLgnd is the coefficient of F.gnd in the original eqn. lincom
can calculate the 
point and interval estimate of its complement (the coefficient of L.gnd in
the original eqn.)

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |
http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |
http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |
http://www.stata-press.com/books/imeus.html


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