Re: st: Modeling simultaneity

["Pavlos C. Symeou" <p.symeou@gmail.com>]

Dear John,

thank you for this. Do the procedures you suggest below have 
respective commands for panel data structures? In this context, I 
suppose I could use the lags of my endogenous variables as their 
instruments.

Best wishes,

Pavlos

On Τρίτη, 5 Φεβρουάριος 2013 8:08:39 μμ, John Antonakis wrote:
> Hi Pavlos:
>
> You are estimating:
>
> abs = b0 + b1Div + b2x1 + e
> div = g0 + g1abs + g2x2 + u
> perf = d0 + d1abs + d2div + w
>
> Where x1 and x2 are instruments, and where cov(e,u; e,w; and u,w)
> are estimated.
>
> Note, the above system of equations is just identified. You have
> 5(5+1)/2 = 15 elements in the variance-covariance matrix and
> estimating:
>
> 1. Correlations between exogenous variables: 1
> 2. Correlations between disturbances: 3
> 3. Regressions coefficients: 6
> 4. Variances of exogenous variables: 2
> 5: Variances of endogenous variables: 3
>
> Total parameters estimated: 15
>
> Thus, your DF = 15-15 = 0. This model can be estimated, but
> because you are not cannot overidentified you cannot determine
> whether the constraints you make are tenable via a chi-square
> test of fit (i.e., Hansen-Sargan test). Thus, I would recommend
> to you to find at least another instrument, x3 in the abs and/or
> div equation to be overidentified.
>
> You can estimate this system of equations with reg3, as follows:
>
> reg3 (abs div x1) (div abs x2) (perf abs div), 2sls
> est store two
>
> (if you are overidentified, you can test for this if download the
> user command -overid- (from SSC)).
>
> Note, I would first estimate this with 2sls to ensure that any
> mispecification remains local. I would then rerun it with 3sls,
> which is more efficient and compare that estimator with the first:
>
> reg3 (abs div x1) (div abs x2) (perf abs div),
> est store three
> hausman two three
>
> If they don't differ you can retain the 3sls estimator.
>
> You can estimate this in sem too (with maximum likelihood), which
> will give you more information on the estimated parameters (note
> to have an instrumental variable estimator you must correlate
> disturbances of the endogenous variables explicitly).
>
> sem (abs <- div x1) (div<- abs x2) (perf y<- abs div),
> covstructure(e._OEn, unstructured)
>
> Or you can do the cov option explicitly:
>
> sem (abs <- div x1) (div<- abs x2) (perf y<- abs div),
> cov(e.abs*e.div, e.abs*e.perf, e.div*e.perf)
>
> -sem- will give you an overidentification test (chi-square test
> on the bottom of the table)
>
> We discuss these issues in an applied manner here:
>
> Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010).
> On making causal claims: A review and recommendations. The
> Leadership Quarterly, 21(6). 1086-1120.
> http://www.hec.unil.ch/jantonakis/Causal_Claims.pdf
>
> [If you wish, refer to the following “prequel” paper, which is
> really a more basic introduction--and we explain
> overidentification explicitly]:
> Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R.
> (submitted). Causality and endogeneity: Problems and solutions.
> In D.V. Day (Ed.), The Oxford Handbook of Leadership and
> Organizations.
> http://www.hec.unil.ch/jantonakis/Causality_and_endogeneity_final.pdf 
>
>
>
> HTH,
> John.
>
> __________________________________________
>
> John Antonakis
> Professor of Organizational Behavior
> Director, Ph.D. Program in Management
>
> Faculty of Business and Economics
> 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 04.02.2013 15:03, Pavlos C. Symeou wrote:
> > Dear Statalisters,
> >
> > I was wondering whether any of you can help me with this.
> >
> > I have three variables: Absorptive capacity, Diversification,
> > and Performance. I am arguing that the first two are
> > simultaneously determined and they influence the third one.
> >
> > Explicitly, I am arguing that the ability of the firm to
> > understand new knowledge (what is called Absorptive Capacity AC)
> > influences the direction of the firm's market diversification
> > (DIV). However, once the firm has diversified, it in turn
> > influences the firm's ability to understand new knowledge (AC).
> > I want to empirically account for this simultaneity when I try
> > to examine the effect of AC and DIV on the performance of the firm.
> >
> > I can use instrumental variables to model the simultaneity, but
> > I don't know how to examine the final effects of AC and DIV on
> > firm performance while controlling for simultaneity.
> >
> > I look forward to receiving your comments.
> >
> > Best,
> >
> > Pavlos
> > *
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>
>
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