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Re: Re: Re: RE: re:Re: st: Multiple endogenous regressors
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
Re: Re: Re: RE: re:Re: st: Multiple endogenous regressors
Date
Sat, 22 Oct 2011 10:34:30 +0200
I would like to assure you that I would not write about this matter if
I was not certain about my knowledge in this area.
I believe you are confusing between 2SLS and IV estimators, which are
not exactly the same:
When you are talking about 2SLS you need literally to replace
projected values from the solution equation - but here the second
equation is simply an identity, so you cannot produce here projected
values. I suppose what STATA did here is to use investment as
instrumental variable to consumption in the right-hand-side of the
consumption function. This is not 2SLS even if the command is 2SLS and
even if the output tells otherwise!!!
On Fri, Oct 21, 2011 at 9:51 PM, Christopher Baum <[email protected]> wrote:
> <>
> Yuval said
>
> Moreover, take for example the following system of Kensian (sic) equations:
>
> C=a+bY+u
> Y=C+I
>
> Note, that the only way to get consistent estimates in this case is by
> the ILS (you cannot employ here the 2SLS)
>
>
> I''m sure the inability to use 2SLS on a simple Keynesian model will come as a surprise to those of us who write econometrics lecture notes and textbooks, as it is one of the most common textbook examples of IV.
> An empirical counterexample:
>
> . webuse klein
>
> . ivregress 2sls consump (totinc = invest)
>
> Instrumental variables (2SLS) regression Number of obs = 22
> Wald chi2(1) = 24.24
> Prob > chi2 = 0.0000
> R-squared = 0.8430
> Root MSE = 2.8442
>
> ------------------------------------------------------------------------------
> consump | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> totinc | .4593425 .0932901 4.92 0.000 .2764971 .6421878
> _cons | 26.07967 5.571562 4.68 0.000 15.15961 36.99973
> ------------------------------------------------------------------------------
> Instrumented: totinc
> Instruments: invest
>
>
> Apparently Yuval did not take my response to his point (4) too seriously.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
> *
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>
--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: [email protected]
*
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