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Re: st: Symmetry Test
From
Ana <[email protected]>
To
[email protected]
Subject
Re: st: Symmetry Test
Date
Thu, 12 May 2011 12:18:39 -0300
Dear Alex (and Statalisters),
I will try to make myself clear know.
My plan is to estimate a Seven Demand Equations using Quiads Model
(based on nlsurquaids.ado routine by Brian Poi (2008))
My main goal is to test one hypothesis based on Browning & Chiappori
model (reference: Efficient Intra-Household Allocations: A general
Characterization and Empirical Tests, Econometrica, vol.66, no.6
(Nov.,1998), pp 1241-1278).
Based on the nslurquaids.ado routine (Brian Poi (2008)), without the
symmetry restriction and based on the originally demand for four goods
(and three share equations) generated by the author, I am trying to
implement this Browning and Chiappori test. If I am well suceeded, I
will extend this routine to "my" model (with more goods...).
Based on the following routine of the nlsurquaids.ado,
nlsur quaids @ w1 w2 w3 lnp1-lnp4 lnm, ifgnls nequations(3) param(a1
a2 a3 b1 b2 b3 g11 g12 g13 g21 g22 g23 g31 g32 g33 l1 l2 l3) nolog
the test I would like to carry out is something like:
(g31 - g13) = (g12 - g21)*(g23 - g32) & (g21 - g12) = (g31 - g13)*(g23 - g32)
The problem is that when I execute the command:
testnl (([eq1]_b[/g31] - [eq1]_b[/g13]) = ...*[eq2]_b[/g23] -
[eq3]_b[/g32])) (([eq2]_b[/g21] - [eq1]_b[/g12]) = ...*[eq2]_b[/g23] -
[eq3]_b[/g32]))
Stata ansewrs that [eq1] was not found.
My guess is that I'm making a syntax error or that I am "forgetting"
to include a program or a command to name equations, parameters inside
the nlsurquaids.ado. Anyway, I'd appreciate if you can help me.
Thank you very much in advance.
Very best regards,
Ana.
2011/5/11 Alex Olssen <[email protected]>:
> Dear Ana,
>
> I don't really understand what you are asking.
>
> "Based on your routine below, how could I distinguish the parameters fo
> interst for the symmetry test (g12 g21 g31 g13...) from the other
> parameters of the model?"
>
> What do you mean by "distinguish"?
>
> "Still, sometimes (for other exercises I'm planning to do), I'd like to
> keep only some parameters from the model and make some test."
>
> Are you asking about implementing exclusion (zero) restrictions on
> some parameters?
> You should be able to do this by removing the parameters you want to
> exclude from the
>
> scalar `name' = `at'[1,x]
>
> list, and delete the parameter and its associated variable from the
>
> replace w`i' = ...
>
> list.
>
> How can I "view "and "use" the some parameters from the model?
> In the case of ther symmetry test (if I only use the unrestricted
> model), I tried to use something like [eq_1]g12 = [eq_2]g2, but stata
> (actually, me!) always complain with something about: "equation [1]
> not found".
>
> I don't understand what you are asking? Do you want to test the
> single symmetry constraint g12 = g21 on its own? That doesn't seem
> very sensible.
>
> If you want to test whether symmetry holds overall this should be
> simple. In your second email you presented estimates from the
> constrained model, I presume you have the estimates for the
> unconstrained model - all you need to do to see if symmetry can be
> rejected for your data and model is to look at the likelihood ratio
> statistics.
>
> Kind regards,
>
> Alex
>
>
>
> On 12 May 2011 05:22, Ana <[email protected]> wrote:
>> Dear Alex,
>> Thank you very much for your prompt response and for your help.
>> I'm still with a silly question about the symmetry test.
>> Based on your routine below, how could I distinguish the parameters fo
>> interst for the symmetry test (g12 g21 g31 g13...) from the other
>> parameters of the model?
>>
>> Still, sometimes (for other exercises I'm planning to do), I'd like to
>> keep only some parameters from the model and make some test.
>> How can I "view "and "use" the some parameters from the model?
>> In the case of ther symmetry test (if I only use the unrestricted
>> model), I tried to use something like [eq_1]g12 = [eq_2]g2, but stata
>> (actually, me!) always complain with something about: "equation [1]
>> not found".
>> Here is the estimates/results I can get from using nlsur quaids based
>> on my data:
>>
>> FGNLS regression
>>
>> Equation Obs Parms RMSE R-sq Constant
>>
>> 1 w1 26784 . .4765981 0.7898* (none)
>> 2 w2 26784 . .5114466 0.3840* (none)
>> 3 w3 26784 . .4442428 0.3384* (none)
>>
>> * Uncentered R-sq
>>
>>
>> Coef. Std. Err. z P>z [95% Conf. Interval]
>>
>> /a1 1.461867 .0214499 68.15 0.000 1.419826 1.503908
>> /a2 .316065 .0206387 15.31 0.000 .2756139 .3565162
>> /a3 .292436 .0186566 15.67 0.000 .2558698 .3290022
>> /b1 -.6577555 .0084112 -78.20 0.000 -.6742412 -.6412698
>> /b2 -.0759965 .007929 -9.58 0.000 -.091537 -.060456
>> /b3 -.1354168 .0072402 -18.70 0.000 -.1496074 -.1212263
>> /g11 -1.520055 .045084 -33.72 0.000 -1.608418 -1.431692
>> /g12 -.0109163 .0207699 -0.53 0.599 -.0516245 .029792
>> /g13 -.399293 .0196141 -20.36 0.000 -.4377359 -.3608502
>> /g22 -.0250661 .0151875 -1.65 0.099 -.054833 .0047007
>> /g23 -.0521908 .01053 -4.96 0.000 -.0728293 -.0315523
>> /g33 -.0643672 .0144734 -4.45 0.000 -.0927346 -.0359998
>> /l1 .0855152 .0007695 111.13 0.000 .084007 .0870233
>> /l2 .0143847 .0007215 19.94 0.000 .0129705 .0157989
>> /l3 .021068 .0006599 31.93 0.000 .0197747 .0223613
>>
>>
>> .
>> end of do-file
>>
>>
>> Thanks a lot in advance.Again.
>> Best regards,
>> Ana.
>>
>> 2011/5/10 Alex Olssen <[email protected]>:
>>> Dear Ana,
>>>
>>> I presume you removed the symmetry restriction by adjusting the
>>> variables `gij' = `gji' in the nlsurquaids.ado file.
>>>
>>> To test the symmetry restrictions you could,
>>>
>>> 1) rename the program without symmetry as nlsurquaids2.ado
>>>
>>> 2) run the program without symmetry and obtain the log likelihood
>>>
>>> scalar llnosymmetry = e(ll)
>>>
>>> 3) run the program with symmetry (the original nlsurquaids) and obtain
>>> the log likelihood
>>>
>>> scalar llsymmetry = e(ll)
>>>
>>> 4) implement the likelihood ratio test
>>>
>>> the statistic is given by 2*(llnosymmetry - llsymmetry)
>>> which follows a chi-squared distribution with the number of
>>> restrictions as the degrees of freedom.
>>>
>>> Kind regards,
>>>
>>> Alex Olssen
>>>
>>> On 11 May 2011 11:37, Ana <[email protected]> wrote:
>>>> Dear Statalisters,
>>>>
>>>> I'm using Brian Pois nlsurquaids.ado to estimate a Four Demand Equations.
>>>> I've excluded the symmetry restriction from this program in order to
>>>> test this restriction.
>>>>
>>>> My model has the form:
>>>> nlsur quaids @ w1 w2 w3 lnp1-lnp4 lnm, ifgnls nequations(3) param(a1
>>>> a2 a3 b1 b2 b3 g11 g12 g13 g21 g22 g23 g31 g32 g33 l1 l2 l3) nolog
>>>>
>>>>
>>>> Does anybody know how to test the symmetry restriction?
>>>> I want to test if: g12=g21 g13=g31 g23=g32!
>>>>
>>>> Thanks a lot in advance.
>>>> Best regards,
>>>> Ana.
>>>> *
>>>> * 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/
>>>
>>
>> *
>> * 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/
>
*
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