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Re: st: RE: re: 3sls and fixed effects
From
Clive Nicholas <[email protected]>
To
[email protected]
Subject
Re: st: RE: re: 3sls and fixed effects
Date
Sat, 16 Oct 2010 18:16:15 +0100
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.
I'll hapilly tell you what the main problem is: it's that you're not
following the solutions provided by John and Kit properly:
. webuse grunfeld
. xi: reg3 (invest mvalue kstock i.company) (kstock time i.company),
endog(invest kstock)
i.company _Icompany_1-10 (naturally coded; _Icompany_1 omitted)
Three-stage least-squares regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" chi2 P
----------------------------------------------------------------------
invest 200 11 52.79183 0.9404 2882.99 0.0000
kstock 200 10 173.8865 0.6648 396.70 0.0000
----------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
invest |
mvalue | .1106015 .0124791 8.86 0.000 .0861429 .1350602
kstock | .253693 .0275762 9.20 0.000 .1996447 .3077413
_Icompany_2 | 153.3988 30.54439 5.02 0.000 93.53285 213.2646
_Icompany_3 | -178.128 31.5856 -5.64 0.000 -240.0347 -116.2214
_Icompany_4 | 14.50765 42.87785 0.34 0.735 -69.53139 98.54668
_Icompany_5 | -51.47406 51.71217 -1.00 0.320 -152.8281 49.87992
_Icompany_6 | 18.33015 45.77218 0.40 0.689 -71.38167 108.042
_Icompany_7 | -13.05761 50.69623 -0.26 0.797 -112.4204 86.30517
_Icompany_8 | -17.2252 42.89694 -0.40 0.688 -101.3017 66.85125
_Icompany_9 | -34.7751 48.39492 -0.72 0.472 -129.6274 60.07719
_Icompany_10 | 29.54644 48.99071 0.60 0.546 -66.4736 125.5665
_cons | -35.81323 48.30395 -0.74 0.458 -130.4872 58.86077
-------------+----------------------------------------------------------------
kstock |
time | 26.65492 2.132334 12.50 0.000 22.47563 30.83422
_Icompany_2 | -353.58 54.98775 -6.43 0.000 -461.354 -245.806
_Icompany_3 | -248.275 54.98775 -4.52 0.000 -356.049 -140.501
_Icompany_4 | -527.19 54.98775 -9.59 0.000 -634.964 -419.416
_Icompany_5 | -161.67 54.98775 -2.94 0.003 -269.444 -53.89599
_Icompany_6 | -544.15 54.98775 -9.90 0.000 -651.924 -436.376
_Icompany_7 | -333.49 54.98775 -6.06 0.000 -441.264 -225.716
_Icompany_8 | -562.795 54.98775 -10.23 0.000 -670.569 -455.021
_Icompany_9 | -350.535 54.98775 -6.37 0.000 -458.309 -242.761
_Icompany_10 | -642.4935 54.98775 -11.68 0.000 -750.2675 -534.7195
_cons | 368.5583 44.86776 8.21 0.000 280.6191 456.4975
------------------------------------------------------------------------------
Endogenous variables: invest kstock
Exogenous variables: mvalue _Icompany_2 _Icompany_3 _Icompany_4 _Icompany_5
_Icompany_6 _Icompany_7 _Icompany_8 _Icompany_9 _Icompany_10 time
------------------------------------------------------------------------------
This ran perfectly on my Stata 9.2.
--
Clive Nicholas
[Please DO NOT mail me personally here, but at
<[email protected]>. Please respond to contributions I make in
a list thread here. Thanks!]
"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.
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