RE: st: Blundell & Robin (1999) estimator

["Ivica Rubil" <irubil@eizg.hr>]

My question is:
Is it wrong to do the following:
1. regress total expenditure on disposable income as an instrument and on other explanatory variables from the share equations
2. include the residuals from the above first stage in share equations and estimate the system using -nlsur-, bootstraping std errors

Thanks.
  

--
Ivica Rubil
Ekonomski institut / The Institute of Economics, Zagreb
Trg J. F. Kennedyja 7, 10 000 Zagreb, Croatia
tel. +385-1-2362-269
fax. +385-1-2335-165
irubil@eizg.hr
www.eizg.hr


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jorge Eduardo Pérez Pérez
Sent: 11. listopad 2011 17:37
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Blundell & Robin (1999) estimator

Ivica wrote to me privately, I am sharing the conversation with the list.

What makes the Blundell and Robin estimator easi for pratical purposes
its precisely that each regression is linear on each iteration. Doing
a complete non linear estimation on each iteration kind of kills the
purpose. Also, I am not aware of what the correction for standard
errors might be if you use -nlsur qaids- in an iterative procedure.

Your alternatives are summarized in this thread:

http://www.stata.com/statalist/archive/2011-05/msg01514.html

To program the Blundell and Robin estimator, you can follow this code,
which uses the iterative estimator on another demand system (The EASI
demand system). It also shows you how to use -reg3- inside the
iterations to deal with endogeneity :

http://www.sfu.ca/~pendakur/iterated_3sls_without_pz,py,zy.do

Regards,

Jorge Pérez.
-----

Dear Jorge Eduardo,

I have recently googled how to estimate a demand system and I came
across your name a number of times. I have a question and hope you can
help me. I am trying to estimate QUAIDS for a number of food
categories using data from Croatian Household Budget Survey. I wish to
account for zero-expenditures and deal with potential endogeneity of
total expenditures. As I have seen so far, there is a number of
different approaches to do that. I intend to use the Shonkwiler and
Yen (1999) approach to deal with zero-expenditures and the Blundell
and Robin
(1999) approach to deal with endogeneity of total expenditure. Now,
the problem is that I am not good at Stata programming, and therefore
I can hardly write a program for Bludell and Robin's Iterated Least
Squares Estimator. My question is: Do you think it would be right to
use the procedure for dealing with endogeneity used in Blundell and
Robin within nonlinear SUR framework, i.e. using Poi's (2008) -nlsur
quaids- command in Stata. It seems to me that Blundel and Robin's
procedure for dealing with endogeneity need not necessarily be used
only together with their iterated LS estimator. Am I right?

Sorry for bothering you this way.

Thanks.

Best regards,

Ivica Rubil

--
Ivica Rubil
Ekonomski institut / The Institute of Economics, Zagreb Trg J. F.
Kennedyja 7, 10 000 Zagreb, Croatia tel. +385-1-2362-269 fax.
+385-1-2335-165 irubil@eizg.hr www.eizg.hr



_______________________
Jorge Eduardo Pérez Pérez




On Mon, Oct 10, 2011 at 5:49 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> In such cases, you should always try -findit- or Googling first. That
> should certainly find inbuilt commands. Did you do that?
>
> Naturally, it is always possible that someone is sitting on something
> they have written but not made public, or has done this under another
> name, but if -findit- or Google finds nothing, you probably need to
> write a program.
>
> Nick
>
> On Mon, Oct 10, 2011 at 10:29 AM, Ivica Rubil <irubil@eizg.hr> wrote:
>
>> Does anybody knows how can I implement using Stata the Blundell & Robin
>> (1999) procedure (see full reference below)? Do I have to program
>> something extensively on my own or there is an in-built procedure that
>> implements the iterated estimator proposed in the paper. Thanks.
>>
>> 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
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>
>
>


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