求助，IV回归每次都提示invalid subcommand firststage

mooncrystal

9999

收藏 2014-08-01

悬赏 100 个论坛币已解决

RT,做好面板数据IV回归之后，想看第一阶段shea R结果，输入：estat firststage
每次都提示：
invalid subcommand firststage

。。。求问这是为啥？感谢！！

最佳答案

蓝色查看完整内容

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

2014-8-1 18:51:11

没有问题啊

. webuse hsng2
(1980 Census housing data)

. ivregress 2sls rent pcturban (hsngval = faminc i.region), small

Instrumental variables (2SLS) regression

   Source |    SS    df    MS             Number of obs =    50
-------------+------------------------------          F(  2, 47) = 42.66
   Model |  36677.4033    2  18338.7017          Prob > F    =  0.0000
Residual |  24565.7167 47  522.674823          R-squared    =  0.5989
-------------+------------------------------          Adj R-squared =  0.5818
   Total | 61243.12 49  1249.85959          Root MSE    =  22.862

------------------------------------------------------------------------------
      rent |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
   hsngval | .0022398 .0003388    6.61 0.000    .0015583 .0029213
pcturban | .081516 .3081528    0.26 0.793 -.5384074 .7014394
   _cons | 120.7065 15.70688    7.68 0.000    89.10834 152.3047
------------------------------------------------------------------------------
Instrumented:  hsngval
Instruments: pcturban faminc 2.region 3.region 4.region

. estat firststage

  First-stage regression summary statistics
  --------------------------------------------------------------------------
            |          Adjusted    Partial
   Variable | R-sq.    R-sq.       R-sq.    F(4,44) Prob > F
  -------------+------------------------------------------------------------
   hsngval |  0.6908    0.6557    0.5473    13.2978 0.0000
  --------------------------------------------------------------------------

  Minimum eigenvalue statistic = 13.2978

  Critical Values                   # of endogenous regressors: 1
  Ho: Instruments are weak          # of excluded instruments:    4
  ---------------------------------------------------------------------
                                 | 5%    10%    20%    30%
  2SLS relative bias                |  16.85 10.27 6.71 5.34
  -----------------------------------+---------------------------------
                                 | 10%    15%    20%    25%
  2SLS Size of nominal 5% Wald test  |  24.58 13.96 10.26 8.31
  LIML Size of nominal 5% Wald test  | 5.44 3.87 3.30 2.98
  ---------------------------------------------------------------------

没有问题啊

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

mooncrystal

2014-8-1 23:32:41

蓝色发表于 2014-8-1 19:48
没有问题啊

谢谢！直接写ivregress， i.region是没有问题，我之前是用xtreg,fe的时候就不行。
我想问一下：
1. 你的i.region写括号里面和外面有区别么？换而言之，我可以写成ivregress 2sls rent pcturban (hsngval = faminc ) i.region, small吗？因为其他变量也需要控制region啊。。。
2. IV的情况下，我用xtreg, fe和ivreg控制i.region变量做出来估计值一样，但是t值是不一样的，这个如果样本大的话会不会结果差很多？

再次感谢！

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

2014-8-2 08:29:23

该用什么命令和选项，你的看帮助和手册里面的具体介绍
1、每一个命令都有对应的选项，而不是你想用什么命令就用什么
ivregress后面才能用estat first
面板数据是没有那个命令的，你在帮助里面面板的iv的命令，你能查到有吗？

2.两种命令的结果是否一样，这需要你懂两种命令背后的理论的推导。
你的从理论上先推导他们的结果到底是什么区别

. webuse nlswork
(National Longitudinal Survey.  Young Women 14-26 years of age in 1968)

. xtivreg ln_w age c.age#c.age not_smsa (tenure = union south), fe  first

First-stage within regression

Fixed-effects (within) regression             Number of obs    =    19007
Group variable: idcode                         Number of groups =    4134

R-sq:  within  = 0.3019                      Obs per group: min =       1
   between = 0.0578                                     avg =    4.6
   overall = 0.1289                                     max =       12

                                             F(5,14868)       = 1285.83
corr(u_i, Xb)  = -0.1871                      Prob > F          = 0.0000

------------------------------------------------------------------------------
   tenure |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
      age | .0863031 .0343238    2.51 0.012    .0190241 .1535821
         |
c.age#c.age | .0039115 .000549    7.12 0.000    .0028353 .0049876
         |
not_smsa |  -.3552488 .1269318 -2.80 0.005 -.6040507 -.1064468
   union | .3896861 .0706568    5.52 0.000    .2511901 .5281821
   south |  -.4296172 .1349122 -3.18 0.001 -.6940618 -.1651726
   _cons |  -2.554764 .5293374 -4.83 0.000    -3.59233 -1.517197
-------------+----------------------------------------------------------------
   sigma_u |  3.1334845
   sigma_e |  2.5869529
      rho |  .59467598 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:    F(4133, 14868) =    6.40       Prob > F = 0.0000

Fixed-effects (within) IV regression       Number of obs    =       19007
Group variable: idcode                      Number of groups =       4134

R-sq:  within  =    .                   Obs per group: min =          1
   between = 0.1304                                  avg =       4.6
   overall = 0.0897                                  max =          12

                                          Wald chi2(4)    = 147926.58
corr(u_i, Xb)  = -0.6843                   Prob > chi2       =    0.0000

------------------------------------------------------------------------------
   ln_wage |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
   tenure | .2403531 .0373419    6.44 0.000    .1671643 .3135419
      age | .0118437 .0090032    1.32 0.188 -.0058023 .0294897
         |
c.age#c.age |  -.0012145 .0001968 -6.17 0.000 -.0016003 -.0008286
         |
not_smsa |  -.0167178 .0339236 -0.49 0.622 -.0832069 .0497713
   _cons | 1.678287 .1626657 10.32 0.000    1.359468 1.997106
-------------+----------------------------------------------------------------
   sigma_u |  .70661941
   sigma_e |  .63029359
      rho |  .55690561 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F  test that all u_i=0:    F(4133,14869) =    1.44    Prob > F = 0.0000
------------------------------------------------------------------------------
Instrumented: tenure
Instruments: age c.age#c.age not_smsa union south
------------------------------------------------------------------------------

. xtivreg ln_w age c.age#c.age not_smsa (tenure = union south), re  first

First-stage G2SLS regression
                                             Number of obs =    19007
                                             Wald chi(5)    =    4789
                                             Prob > chi2    =    0.0000
------------------------------------------------------------------------------
   tenure |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
      age | .1357715 .0352866    3.85 0.000    .0666109    .204932
         |
c.age#c.age | .0021357 .0005639    3.79 0.000    .0010305    .003241
         |
not_smsa |  -.0178559 .0719943 -0.25 0.804 -.1589621 .1232504
   union | 1.032321 .0646406 15.97 0.000    .905628 1.159015
   south |  -.1311183 .0672238 -1.95 0.051 -.2628745 .0006379
   _cons | -3.02552 .5391171 -5.61 0.000    -4.08217 -1.96887
------------------------------------------------------------------------------

G2SLS random-effects IV regression             Number of obs    =    19007
Group variable: idcode                         Number of groups =    4134

R-sq:  within  = 0.0620                      Obs per group: min =       1
   between = 0.1745                                     avg =    4.6
   overall = 0.1206                                     max =       12

                                             Wald chi2(4)    = 941.52
corr(u_i, X)    = 0 (assumed)             Prob > chi2       = 0.0000

------------------------------------------------------------------------------
   ln_wage |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
   tenure | .1772948 .0111724 15.87 0.000    .1553972 .1991924
      age | .0191674 .0066388    2.89 0.004    .0061555 .0321792
         |
c.age#c.age |  -.0008496 .0001057 -8.04 0.000 -.0010567 -.0006425
         |
not_smsa |  -.2119932 .0130456 -16.25 0.000 -.2375622 -.1864243
   _cons | 1.42761 .1037797 13.76 0.000    1.224205 1.631014
-------------+----------------------------------------------------------------
   sigma_u |  .33156584
   sigma_e |  .63029359
      rho |  .21674808 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented: tenure
Instruments: age c.age#c.age not_smsa union south
------------------------------------------------------------------------------

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

mooncrystal

2014-8-2 14:53:45

蓝色发表于 2014-8-2 08:29
该用什么命令和选项，你的看帮助和手册里面的具体介绍
1、每一个命令都有对应的选项，而不是你想用什么命令 ...

嗯嗯thanks！！！

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

saly@123

2017-4-30 12:03:36

蓝色发表于 2014-8-2 08:29
该用什么命令和选项，你的看帮助和手册里面的具体介绍
1、每一个命令都有对应的选项，而不是你想用什么命令 ...

请问一下，第二个结果中with Rsquare为什么会是空的？对结果有影响吗？

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

最佳答案

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

分享

扫码加好友，拉您进群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群