Re: st: Nlsur quaids and IV

[Ana <analunhb@gmail.com>]

Dear Pérez,

I've kept using Stata and I was well succeded with the second approach
you suggested below (estimate the model with nlsur - including the
residuals from the first stage regression in the share equations). Do
you know if it is possible to use an overidentification test in this
model ? I've used two instruments (income and income-square) for my
expenditure variable.
Thank you very much in advance.
Best regards,
Ana.


2011/5/27 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
> To do this, you would need to have a estimator for nonlinear 3SLS
> which Stata does not have. If you want to keep using Stata, there are
> some additional approaches you might try though:
>
> * Estimate the model via an interative estimator and -reg-, like in
> Blundell and Robin (1999). You would have to include the residuals
> from the first stage regression in the share equations to correct the
> endogeneity (This is done in Banks, Blundell & Lewble QAIDS paper).
> Blundell and Robin provide a formula for the standard errors, but
> since the estimator is computationally efficient, it is easier to
> bootstrap the whole thing.
> * Estimate the model with -nlsur- including the residuals from the
> first stage regression in the share equations. Again, adjustment of
> the standard errors is needed. I am not aware of the adjustment in
> this case. Bootstrapping would be slower.
> * You can estimate a -LA AIDS- with full correction for endogeneity
> and correct standard errors using -reg3-, no iterations would be
> needed.
> * You can estimate the AIDS or QAIDS with -reg3- and an iterative
> estimator like the one mentioned before. Some adjustment of the
> standard errors is needed for estimation with generated regressors.
> * You can estimate the model via -gmm-
>
>
> References:
>
> Blundell, Richard & Robin, Jean Marc, 1999. "Estimation in Large and
> Disaggregated Demand Systems: An Estimator for Conditionally Linear
> Systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd.,
> vol. 14(3), pages 209-32, May-June
>
>
> _______________________
> Jorge Eduardo Pérez Pérez
>
>
>
>
> On Fri, May 27, 2011 at 7:18 PM, Ana <analunhb@gmail.com> wrote:
>> Dear Statalisters (Brian Poi and Alex Olssen)
>>
>> I'm using Brian Poi (2008) nlsurquaids.ado to estimate a Four Demand
>> Equation system.
>>
>> My model has the form:
>>
>> nlsurquaids @ w1 w2 w3 lnp1-lnp4 lnexp, ifgnls nequations(3) param(a1
>> a2 a3 b1 b2 b3 g11 g12 g13 g22 g23 g33 l1 l2 l3) nolog
>>
>> I'd like to include in this model an Instrumental Variable (like
>> lnincome) for the expenditure variable (lnexp). Is it possible?
>> Does anybody know how to include the IV in this model?
>>
>> Thanks a lot in advance.
>> Best regards,
>> Ana.
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>>
>
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