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RE: st: RE: re: 3sls and fixed effects
From
"Biljana Dlab" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: re: 3sls and fixed effects
Date
Sat, 16 Oct 2010 19:16:00 +0200
I have 2 endogenous variables - this is the full equation:
xi:reg3(v1 v2 v3 v4 v5 v6 i.firm i.year)(v5 v2 v3 v4 v1 v7 i.firm
i.year), endog(v1 v5)
I have 2 endogenous variables (right hand side)
4 exogenous variables
2 fixed effects variables
It works without fixed effects, as soon as I put them into equation it
does not work.
Thanks,
Biljana
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of John
Antonakis
Sent: 16 October 2010 19:08
To: [email protected]
Subject: Re: st: RE: re: 3sls and fixed effects
Hi:
How many endogenous and exogenous variables do you have? You must have
at least as many instruments as you have endogenous variables (and
ideally more instruments than endogenous variables so that your equation
is "over-identified" and so that you can test the constraints you have
made in your model).
HTH,
J.
__________________________________________
Prof. John Antonakis, Associate Dean
Faculty of Business and Economics (HEC)
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
Home page:
http://www.hec.unil.ch/people/jantonakis
__________________________________________
On 16.10.2010 19:02, Biljana Dlab wrote:
> I tried as you suggested but then i get message:
>
> "Equation is not identified -- does not meet order conditions"
>
> Any idea what could be the problem.
>
> Thanks.
>
> Best,
> Biljana
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of John
> Antonakis
> Sent: 16 October 2010 16:54
> To: [email protected]
> Subject: Re: st: RE: re: 3sls and fixed effects
>
> Put xi: before the regression--seems that you are not running the
latest
>
> version of Stata.
>
> xi: reg3 (invest mvalue kstock i.company) (kstock time i.company),
>
> Regards,
> John.
>
> __________________________________________
>
> Prof. John Antonakis, Associate Dean
> Faculty of Business and Economics (HEC)
> 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
>
> Home page:
> http://www.hec.unil.ch/people/jantonakis
> __________________________________________
>
>
> On 16.10.2010 16:49, Biljana Dlab wrote:
>> I tried to put in my regression:
>> Reg3(... i.year i.firm)(... i.year i.firm), endog(...)
>>
>> But then I get the error message:
>>
>> i: operator invalid
>>
>> I have panel data
>>
>> Thanks,
>>
>> Biljana
>>
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
Christopher
>> Baum
>> Sent: 16 October 2010 16:39
>> To: [email protected]
>> Subject: st: re: 3sls and fixed effects
>>
>> <>
>> Biljana wonders how to include fixed effects in 3SLS:
>>
>> webuse grunfeld, clear
>> reg3 (invest mvalue kstock i.company) (kstock time i.company),
>> endog(invest kstock)
>>
>> 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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