Re: st: Averaging coefficinets across reg3 output

[Maarten Buis <maartenlbuis@gmail.com>]

As a general strategy I would stack the data and estimate the entire
system in one model with interaction terms to allow T and X to have
different effects for different equations. I would use effect coding
for those dummies (see for example: -findit xi3-), such that the main
effects of T and X are the effects for an "average" equation. I don't
know how well that works with models like -reg3- though.

-- Maarten

On Mon, Jul 11, 2011 at 6:29 PM, Guy Grossman wrote:
> Hi -
>
> I am reposting a question that was not responded. Assistance would be
> highly appreciated. In short, I am using Stata 11.2 on mac to estimate
> the following system of equations:
>
> Y1 = alpha_1*T+beta_1*X +e_1
> Y2 = alpha_2*T+beta_2*X +e_2
> Y3 = alpha_3*T+beta_3*X +e_3
> .
> .
> Yk = alpha_k*T+beta_k*X +e_k
>
> where Y1-Yk are standardized dependent variables, X is an exogenous
> covariate and T is a binary endogenous variable, instrumented by Z. I
> am using reg3 (three-stage estimation). My main interest is the
> coefficients on T (the alphas). Y1--Yk are thought to be from the same
> family of outcomes. My goal is to conduct the following analysis:
>
> 1. calculate a mean effect value that captures the average
> relationship between T and the K different outcomes that belong to the
> same family
>
> 2. calculate the standard error of the mean effect value which depends
> on the variance of of each of the individual alpha and the covariance
> between
> alpha_1,k and alpha_1, --k
>
> 3. test the cross equation hypothesis that the average effect of the K
> coefficients equals zero
>
> My Stata code starts with:
> global y1 "(q1: y1 t x)"
> global y2 "(q2: y2 t x)"
> global y3 "(q3: y3 t x)"
> global y4 "(q4: y4 t x)"
>
> reg3 $y1 $y2 $y3 $y4, endog(t) exog(z)
>
> I am not sure however, how to continue to stages (2) and (3).
> suggestions would be highly appreciated!
> Regards,
> Guy
>
>
> _____________________________
> Guy Grossman
> Dept. of Political Science
> Columbia University, NY
> www.columbia.edu/~gsg2102
>
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>



-- 
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------

*
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