RE: st: about ivregress

["Lynn Lee" <lynn09v@gmail.com>]

Thank you, Prof. Antonakis. My model has two endogenous variables and each
has its own instrumental variables. Your suggestion really solves my
question. 

At same time,  thank Kit and Justina for kind reminder. 

Best Regards,
Lynn Lee

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
Sent: Tuesday, August 28, 2012 1:14 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: about ivregress

[Double Oops. Sorry about this.....I just realized that I messed up with the
sem command too; the disturbances must be correlated. Here goes again.
Apologies for my oversight:


1. Oops one: There was a typo in the Three-stage least square command, which
should have 3sls (the default, thus it does not even need to be written,
instead of 2sls)

2. Oops two: in the sem command, you must correlate cross-equation
disturbances; else, the estimator will not be an instrumental variable one.]

It does; as Kit suggested "varlist" is a list of (n) variables. Try:

ivregress 2sls y x1 (x2 x5 =x3 x4 x6 x7)

If you want to specify your model precisely as indicated below, you'll need
to use reg3 or sem:

Two-stage least squares estimator
reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 2sls

Three-stage least squares estimator
reg3 (y x1 x2 x5) (x2 x3 x4) (x5 x6 x7), 3sls

You can test overidentifying restrictions with the userwritten -overid-
command.

You can estimated this with -sem- too, Maximum likelihood:

sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7), covstructure(e._OEn)

or more specifically:

sem (y<- x1 x2 x5) (x2 <-x3 x4) (x5<-x6 x7), covstructure(e.x2*e.x5)

The covariance e.x2*ex5 is the Hausman test (see: Antonakis, J., Bendahan,
S., Jacquart, P., & Lalive, R. (2010). On making causal
claims: A review and recommendations. The Leadership Quarterly, 21(6),
1086-1120)

You can also add ", vce(robust)" to the sem command.

This should help,
J.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________

On 28.08.2012 19:05, Lynn Lee wrote:
>
> The example provided in help document is " ivregress 2sls rent 
> pcturban (hsngval = faminc i.region)", which indicates  the endogenous 
> variable is "hsngval" and the number of endogenous variable is one. 
> Now, my model has two endogenous variables, "ivregress 2sls y x1 
> (x2=x3 x4) (x5=x6
x7)", this
> command is wrong. I am wondering whether there is command that
handles two
> endogenous variables x2 and x5 at same time.  Thanks for any suggestion.
>
> Best Regards,
> Lynn Lee
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
Christopher Baum
> Sent: Monday, August 27, 2012 1:41 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: re: st: about ivregress
>
> <>
> Lynn said:
>
> My estimation model has two endogenous explanatory variables
(cross-section
> data set). The command "ivregress 2sls" or "ivregress gmm" are
suitable for
> one endogenous variable. What specific command I can use if I want to
handle
> these two endogenous variables at same time in Stata? And what
command for
> handling more than one endogenous variables in panel data is used?
>
>
> The syntax for -ivregress- is
>
>
>         ivregress estimator depvar [varlist1] (varlist2 = varlist_iv)
[if]
> [in] [weight] [, options]
>
> Note that -varlist2- is a varlist, not a varname. Thus you may put as
many
> variables as you wish into -varlist2-, s.t. the order condition for 
> identification, which requires that -varlist_iv- has at least as many 
> elements as -varlist2-.
>
> In panel data, use -xtivreg-, which uses the same syntax.
>
> For a broader set of features, -ssc desc ivreg2- and -ssc xtivreg2-
and the
> two Stata Journal papers by Baum, Schaffer, Stillman referenced in 
> their help files.
>
> 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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