谁知道3SLS 用于 PANEL DATA的方法

Why does xtgls not report an R-square statistic?
http://www.stata.com/support/faqs/stat/xtgls2.html

For two-stage least-squares (2SLS/IV/ivreg) estimates, why is the R-squared statistic not printed in some case?

For two-stage least-squares (2SLS/IV/ivreg) estimates, why
is the Model Sum of Squares sometimes negative?

For two-stage least-squares (3SLS/IV/ivreg) estimates,

why are the R-squared and Model Sum of Squares sometimes negative?
http://www.stata.com/support/faqs/stat/2sls.html

How can I calculate the pseudo R-squared for xtprobit?
http://www.stata.com/support/faqs/stat/xtprobit.html

Why is the pseudo-R^2 for tobit negative or greater than 1?
http://www.stata.com/support/faqs/stat/pseudor2.html

Why isn't the calculation of R2 the same for areg and xtreg, fe?
http://www.stata.com/support/faqs/stat/xtr2.html

Dear Stata Users,

As a response to the queries on demand systems estimation,
Prof.Jenkins suggested Poi (2002) and the set of ado files under
'demand', written by Dr.Poi. I had already gone through this and tried
to use it. These are for demand systems with 4 equations.
I have in fact tried working on these ado files, but could not figure
out how can I extend this for 12 equations in my case, and N equations
in general! All that I coud find was that some changes are required to
be done in the construcion of covariance matrix in quaids_delta.ado.
I'm not able to do this.

As I thought this may not be easy, I started using 3SLS as well as SUR
and I found some other problems in these as well, which were discussed
in statalist a few hours ago.

Could any one give some suggestions about either quaids (mentioned in
this post) or 3SLS/SUR for demand system estimation?


Badri

[此贴子已经被作者于2006-4-21 4:57:30编辑过]

On my user site, I have posted a new command called quaids_delta2 so that
the method I outlined in my 2002 Stata Journal article can be applied to
demand systems with arbitrary numbers of equations.

Because quaids_delta2 uses Mata, Stata 9 is required.

The help file accompanying the command contains an example where I fit a
7-equation demand system.

To install, in Stata type

net from http://www.stata.com/users/bpoi
net install quaids_delta2
help quaids_delta2

Bug reports are most welcome.

Enjoy.

-- Brian Poi
-- bpoi@stata.com

Rijo writes

I am now a bit confused whether "sure" option with -reg3- is actually
doing an IV when I estimate it with endog() and exog() options.

以下是引用hanszhu在2006-4-21 5:07:00的发言：
Rijo writes

I am now a bit confused whether "sure" option with -reg3- is actually
doing an IV when I estimate it with endog() and exog() options.

Please read the documentation. The option sure on reg3 specifies the
estimation method. If you say sure, you are asking for sure, and sure
involves only OLS (strictly, GLS) techniques. It will not do anything
like IV. Options 2sls and 3sls will utilize the IV estimator.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

Dear Dr. Kit Baum,

Thank you very much for the advice. In fact, in my list of
constraints, adding-up requires only very few constraints. The rest
are other ones like symmetry, homogeneity, and functional-form-related
constraints. Of these, to impose homogeneity, I need all of the
coefficients of all equations. Further, I require all of them in any
case, as my study is about the entire demand system. Even if I assume
that I can recover the 'n'th coefficient based on the constraints and
'n-1' other coefficients, I'm not sure how would it be possible to
construct the covariance matrix required to infer about significance.

In addition, I guess the results would depend on which equation is to
be dropped, which is difficult to decide in my demand system. In this
case, could you suggest some way of constructing the covariance matrix
and a remedy to avoid the problem arising from the dependence of
results on the equation dropped? Alternatively, would using 3SLS
instead of SURE take care of the problem, ie, can I impose all
constraints (maybe other than "adding-up") while including all
equations in this 3SLS?
In fact I did exactly this (ALL Equations using 3SLS, mentioning all
constraints including "adding up"!) and I am getting some good results
too! Would this methodology be consisitent with the theory?

Badri