Re: st: Blundell & Robin (1999) estimator

[William Buchanan <william@williambuchanan.net>]

Hi Ben,

Perhaps some of the confusion could be better clarified by following some of the established conventions of the Statalist?  The second bullet in the link (http://www.stata.com/support/faqs/resources/statalist-faq/#others) would likely clarify this and help you to restate your question in a way that will be more likely to elicit helpful responses from other list members.

HTH,
Billy


On Jan 8, 2013, at 2:31 PM, ben jones wrote:

> Hi
> 
> I have estimated a Quaids demand system using GMM but the results are too slow to compile. Blundell and Robin (1999) and Lewbel and Pendakur (2009) both use a form iterated linear estimator which is supposedly quicker to run. 
> 
> This issue has been the subject to previous post, and the code employed by Lewbel and Pendakur (2009) has also previously been shared (see links below). However, I am currently struggling with a few basic issues:
> 
> First, in order to implement the Blundell and Robin estimator, should I iterate on FGLS rather than 3SLS as undertaken by Lewbel and Pendakur (2009)?
> 
> Second, if I wish to make weaker assumptions than independence between regressors and error terms, while using a control function approach to deal with exogeneity, what adjustments do I need to make to the standard errors?  
> 
> Third, I am slightly unclear how to code up the iterations on b(p) and a(p)? I cant see how the gamma matrix is determined in the Pendakur code, for example.
> 
> Any advice suggestions would be much appreciated.
> 
> Thanks!
> 
> Ben 
> 
> 
> 
> 
> http://www.stata.com/statalist/archive/2011-10/msg00431.html
> 
> http://www.sfu.ca/~pendakur/iterated_3sls_without_pz,py,zy.do
> 
> 
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