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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 19:19:56 +0100
Biljana Dlab wrote:
> 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)
Sorry, but your posts are starting to get vexatious.
***************************************************************************************************
Please run -sysuse auto-, -webuse grunfeld- or some other example
dataset available
via Stata to check your code before posting your question to the list!
***************************************************************************************************
If you'd read any of our previous posts, you would surely have known
this would work:
. xi: reg3 (invest l.invest mvalue kstock i.company) (kstock l.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 190 12 38.47947 0.9694 6053.14 0.0000
kstock 190 11 41.45475 0.9814 10004.66 0.0000
----------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
invest |
invest |
L1. | .7060392 .0584213 12.09 0.000 .5915356 .8205428
mvalue | .1018234 .0091482 11.13 0.000 .0838932 .1197536
kstock | .1085806 .0219963 4.94 0.000 .0654686 .1516926
_Icompany_2 | 191.0379 24.16269 7.91 0.000 143.6799 238.3959
_Icompany_3 | 85.41543 31.36261 2.72 0.006 23.94584 146.885
_Icompany_4 | 240.5187 36.9807 6.50 0.000 168.0378 312.9995
_Icompany_5 | 236.9491 44.54761 5.32 0.000 149.6374 324.2609
_Icompany_6 | 260.7295 39.51204 6.60 0.000 183.2873 338.1717
_Icompany_7 | 261.4689 43.66928 5.99 0.000 175.8787 347.0591
_Icompany_8 | 229.9195 37.68334 6.10 0.000 156.0615 303.7775
_Icompany_9 | 241.5072 42.23223 5.72 0.000 158.7335 324.2808
_Icompany_10 | 288.5765 42.38755 6.81 0.000 205.4985 371.6546
_cons | -295.4404 42.01234 -7.03 0.000 -377.783 -213.0977
-------------+----------------------------------------------------------------
kstock |
kstock |
L1. | 1.164028 .0207343 56.14 0.000 1.123389 1.204666
time | -1.369257 .7488219 -1.83 0.067 -2.836921 .0984072
_Icompany_2 | -36.99928 14.73424 -2.51 0.012 -65.87787 -8.120697
_Icompany_3 | -44.06792 14.01972 -3.14 0.002 -71.54607 -16.58977
_Icompany_4 | -20.3549 16.48295 -1.23 0.217 -52.66089 11.95109
_Icompany_5 | -68.66219 13.59364 -5.05 0.000 -95.30522 -42.01915
_Icompany_6 | -28.01087 16.58642 -1.69 0.091 -60.51967 4.497921
_Icompany_7 | -52.61446 14.49528 -3.63 0.000 -81.02469 -24.20424
_Icompany_8 | -26.08811 16.81131 -1.55 0.121 -59.03767 6.861449
_Icompany_9 | -55.57685 14.61953 -3.80 0.000 -84.2306 -26.92309
_Icompany_10 | -24.67148 17.76636 -1.39 0.165 -59.49289 10.14994
_cons | 39.34851 12.81644 3.07 0.002 14.22875 64.46828
------------------------------------------------------------------------------
Endogenous variables: invest kstock
Exogenous variables: L.invest mvalue _Icompany_2 _Icompany_3 _Icompany_4
_Icompany_5 _Icompany_6 _Icompany_7 _Icompany_8 _Icompany_9
_Icompany_10 L.kstock time
------------------------------------------------------------------------------
So, in answer to your question: there are _no_ problems in running
lagged variables in -reg3- (why would there be?). Again, output from
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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