Re: st: Nlsur quaids and IV

[Ana <analunhb@gmail.com>]

Dear Perez,

Is there any overidentification test that applies for the whole demand
system?
In the Bopape study (reference you sent me), the author shows the
overidentification for each share equation. I would like to know if there
exists an overidentification test for the whole demand system?
Thank you very much in advance,
Best regards,
Ana.

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.
> >>> *
> >>> *   For searches and help try:
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> >>> *   http://www.ats.ucla.edu/stat/stata/
> >>>
> >>
> >> *
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> >>
> >
> > *
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> >
>
> *
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