Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: gls

Quantlet: seq
Description: Estimates a simultaneous equations model by 3-stage least squares

Usage: {d3sls,cov3,d2sls} = seq(seqlist1,seqlist2)
Input:
seqlist1 list of matrices. If there are M equations then seqlist1 will be a list of M+2 matrices. The first matrix is comprised of the vectors of observations of the left-hand side variables. The next M matrices consist of the observations of the right-hand-side variables of the M equations. The last matrix contains the observations of the exogenous variables of the system.
seqlist2 list of string vectors. If there are M equations then seqlist2 will be a list of M+2 string (column) vectors. Each vector contains the names of the variables of the corresponding matrix from seqlist1.
Output:
d3sls 3-stage lest squares coefficient estimates vector
cov3 estimated covariance matrix of the 3sls-estimator matrix
d2sls 2-stage lest squares coefficient estimates vector

Note:

Example:



; simulated data for a supply-and-demand model

n=50

randomize (101)

sp      = #(1,-0.7)~#(-0.7,1)             	; covariance matrix

mp      = #(4,4)                          	; mean vector

pcompete = qfc(2*matrix(n,1),uniform(n))  	; price of competitor         

income  = qfc(3*matrix(n,1),uniform(n)) 

praw    = qfc(matrix(n,1),uniform(n))    	; price of inputs

one     = matrix(n,1)

randomize(102)

u2=uniform(n)				; uniform random numbers used for error term							

n2=1.2*qfn(u2)

randomize(103)

u3=uniform(n)					

n3=1.2*qfn(u3)

; price and quantity computed as solutions of 2-equation system

price=1/1.5*(34+.25*pcompete+0.5*income+0.75*praw+-0.8*qfn(u3))

q=40-price+.25*pcompete[,2]+0.5*income+n2

/* structural equations */

;qd=40-price+.25*pcompete+0.5*income+n2

;qs=6+0.5*price-.75*praw+n3

; setting up the matrices for seqlist1

lhs=q~q

z1=one~price~pcompete~income

z2=one~price~praw

x=one~pcompete~income~praw

seqlist1=list(lhs,z1,z2,x)

; setting up the string vectors for seqlist2

yl="quantity demanded"|"quantity supplied"

zl1="one"|"price"|"pcompete"|"income"

zl2="one"|"price"|"praw"

xl="one"|"pcompete"|"income"|"praw"

seqlist2=list(yl,zl1,zl2,xl)

{d3,s,d2}=seq(seqlist1,seqlist2)

d3~d2

Result:

You will find the following output in the output window    

Contents of output2sls

[ 1,] "====================================================="

[ 2,] "2stage Least-squares estimates"

[ 3,] "====================================================="

[ 4,] " EQ	dep. var.		R2	"

[ 5,] "====================================================="

[ 6,] " 1	quantity               0.244     "

[ 7,] " 2	quantity               -0.068     "

[ 8,] "====================================================="

[ 9,] "VARIABLE    Coef.Est.        Std.Err.          t"

[10,] "--------------------------------------------------"

[11,] "one           28.296          6.727         28.296"

[12,] "price         -0.495          0.291         -0.495"

[13,] "pcomp          0.113          0.112          0.113"

[14,] "incom          0.345          0.139          0.345"

[15,] "--------------------------------------------------------

[16,] "one            7.513          6.412          7.513"

[17,] "price          0.421          0.267          0.421"

[18,] "praw          -0.364          0.172         -0.364"

[19,] "====================================================="

Contents of output3sls

[ 1,] "====================================================="

[ 2,] "   3stage Least-squares estimates"

[ 3,] "====================================================="

[ 4,] " EQ	dep. var.		R2	"

[ 5,] "====================================================="

[ 6,] " 1	quantity               0.244     "

[ 7,] " 2	quantity               -0.068     "

[ 8,] "====================================================="

[ 9,] "VARIABLE    Coef.Est.        Std.Err.          t"

[10,] "--------------------------------------------------"

[11,] "one           28.365          6.439          4.405"

[12,] "price         -0.498          0.278         -1.791"

[13,] "pcomp          0.128          0.059          2.175"

[14,] "incom          0.341          0.132          2.589"

[15,] "-------------------------------------------------------

[16,] "one            7.513          6.217          1.209"

[17,] "price          0.421          0.258          1.630"

[18,] "praw          -0.364          0.167         -2.176"

[19,] "====================================================="

Contents of _tmp

[1,]   28.365   28.296 

[2,] -0.49837 -0.49493 

[3,]  0.12777  0.11271 

[4,]  0.34135   0.3446 

[5,]   7.5132   7.5132 

[6,]  0.42127  0.42127 

[7,] -0.36355 -0.36355 


Library: metrics
See also: gls

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: aw (000217)
(C) MD*TECH Method and Data Technologies, 21.9.2000