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From | "Biljana Dlab" <dlab@isb.uzh.ch> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: RE: re: 3sls and fixed effects |
Date | Sat, 16 Oct 2010 19:27:52 +0200 |
That example works for me as well. Have stata 10. I have some lagged values in regression - could that be the problem? This is what I have & get: . xi: reg3 (DeltaDebt CashFlow dQ size DeltaCashHold debt_lag1 i.gvkey_n i.fyear) (DeltaCashHold CashFlow dQ size DeltaDebt cashhold_lag2 i.gvkey_n i.fyear), endog(DeltaDebt DeltaCashHold) i.gvkey_n _Igvkey_n_1017-103307(naturally coded; _Igvkey_n_1017 omitted) i.fyear _Ifyear_1971-2001 (naturally coded; _Ifyear_1971 omitted) 1st stage failure. Equation: DeltaDebt CashFlow dQ size debt_lag1 _Igvkey_n_1056 _Igvkey_n_1058 _Igvkey_n_1093 _Igvkey_n_1124 _Igvkey_n_1234 _Igvkey_n_1248 _Igvkey_n_1283 _Igvkey_n_1284 _Igvkey_n_1327 _Igvkey_n_1350 _I (...) Best, Biljana -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Clive Nicholas Sent: 16 October 2010 19:16 To: statalist@hsphsun2.harvard.edu Subject: Re: st: RE: re: 3sls and fixed effects 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 <clivenicholas@hotmail.com>. 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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/