Re: st: Nlsur quaids and IV

[Ana <analunhb@gmail.com>]

Thank you very much (again and always!)!!!!

2011/6/3 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
> See page 82 of:
>
> http://www.aec.msu.edu/theses/fulltext/bopape_phd.pdf
>
> Hope this helps,
> _______________________
> Jorge Eduardo Pérez Pérez
>
>
>
>
> On Thu, Jun 2, 2011 at 8:06 PM, Ana <analunhb@gmail.com> wrote:
>> 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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>>>> *   http://www.ats.ucla.edu/stat/stata/
>>>>
>>>
>>> *
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>>>
>>
>> *
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>
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