stata如何实现三阶最小二乘法

9597

收藏 2011-04-22

悬赏 5 个论坛币未解决

基于Hicks( 1937) , Blanchard and Fischer( 1993) , 以及Blanchard( 1997) , 设定IS&#1048577;LM 模型如下:
C = c11 + c12 Yd + &#1048577;1
I = c21 + c22 Y+ c23 r + &#1048577;2
Q = c31 + c32 Y + &#1048577;3
r = c41 + c42 Y+ c43M1+ c44 Inf + &#1048577;4
Yd= Y - T + TR = Y - tY+ TR
Y = C + I + G + X - Q
&#1048577; &#1048577; 其中, Inf 为通货膨胀, cij 为待估参数, &#1048577;为随机项,
这样然后用一个三阶的OLS，stata里面语句怎么编？
谢谢大家啊！！！！
本文来自: 人大经济论坛 Stata专版版，详细出处参考：https://bbs.pinggu.org/viewthread.php?tid=1083303&page=1&from^^uid=1475565

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

全部回复

蓝色

2011-4-22 12:31:23

看手册里面的例子，模仿去做吧

help reg3                                                                         dialog:  reg3
                                                                                 also see:  reg3 postestimation
-----------------------------------------------------------------------------------------------------------------

Title

[R] reg3 -- Three-stage estimation for systems of simultaneous equations

Syntax

Basic syntax

      reg3 (depvar1 varlist1) (depvar2 varlist2) ...(depvarN varlistN) [if] [in] [weight]

Full syntax

      reg3 ([eqname1:]depvar1a [depvar1b ...=]varlist1 [, noconstant])
            ([eqname2:]depvar2a [depvar2b ...=]varlist2 [, noconstant])
            ...
            ([eqnameN:]depvarNa [depvarNb ...=]varlistN [, noconstant])
            [if] [in] [weight] [, options]

options                   description
-----------------------------------------------------------------------------------------------------------
Model
   ireg3                   iterate until estimates converge
   constraints(constraints)  apply specified linear constraints

Model 2
   exog(varlist)          exogenous variables not specified in system equations
   endog(varlist)          additional right-hand-side endogenous variables
   inst(varlist)          full list of exogenous variables
   allexog                all right-hand-side variables are exogenous
   noconstant             suppress constant from instrument list

Est. method
   3sls                   three-stage least squares; the default
   2sls                   two-stage least squares
   ols                      ordinary least squares (OLS)
   sure                   seemingly unrelated regression estimation(SURE)
   mvreg                   sure with OLS degrees-of-freedom adjustment
   corr(correlation)       unstructured or independent correlation structure; default is unstructured

df adj.
   small                   report small-sample statistics
   dfk                      use small-sample adjustment
   dfk2                   use alternate adjustment

Reporting
   level(#)                set confidence level; default is level(95)
   first                   report first-stage estimates
   nocnsreport             do not display constraints
   display_options          control spacing and display of omitted variables and base and empty cells

Optimization
   optimization_options    control the optimization process; seldom used

+ noheader                suppress display of header
+ notable                suppress display of coefficient table
+ nofooter                suppress display of footer
+ coeflegend             display coefficients' legend instead of coefficient table

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

蓝色

2011-4-22 12:31:48

Examples

-------------------------------------------------------------------------------------------------------------
. webuse klein
. reg3 (consump wagepriv wagegovt) (wagepriv consump govt capital1)
-------------------------------------------------------------------------------------------------------------
. webuse supDem
. global demand "(qDemand: quantity price pcompete income)"
. global supply "(qSupply: quantity price praw)"
. reg3 $demand $supply, endog(price)
-------------------------------------------------------------------------------------------------------------
. webuse klein
. global conseqn "(consump profits profits1 wagetot)"
. global inveqn "(invest profits profits1 capital1)"
. global wageqn "(wagepriv totinc totinc1 year)"
. global enlist "wagetot profits totinc"
. global exlist "taxnetx wagegovt govt"
. reg3 $conseqn $inveqn $wageqn, endog($enlist) exog($exlist) ireg3
. global conseqn "(consump profits profits1 wagepriv wagegovt)"
. constraint 1 [consump]wagepriv = [consump]wagegovt
. reg3 $conseqn $inveqn $wageqn, endog($enlist) exog($exlist) constr(1) ireg3