Search found 39 matches

by oksanakim
Fri Nov 17, 2017 11:22 am
Forum: Econometric Discussions
Topic: IV estimation and interpretation of the set of results
Replies: 0
Views: 62

IV estimation and interpretation of the set of results

Dear Moderators May I ask for assistance on the set of results related to an IV estimation. I am running a regression whereby a firm value LNMB is regressed on a number of variables, of which foreigners, dexpats, is believed to be an endogenous variables because of a two-directional causality betwee...
by oksanakim
Wed Nov 15, 2017 11:39 am
Forum: Estimation
Topic: Eviews 9 clustered standard errors
Replies: 2
Views: 127

Re: Eviews 9 clustered standard errors

Thank you Glenn.
by oksanakim
Thu Nov 02, 2017 10:43 am
Forum: Estimation
Topic: Eviews 9 clustered standard errors
Replies: 2
Views: 127

Eviews 9 clustered standard errors

Dear Moderators I am using Eviews 9 currently and am working with Undated/Unstructured panel. I need to estimate an OLS with se clustered at firm level. I did the follows: modified the structure of the file by specifying Firm ID as a Identifier Series. Then, when estimating the regression, in the Pa...
by oksanakim
Thu Nov 02, 2017 8:26 am
Forum: Econometric Discussions
Topic: Unstructured data file and HAC robust standard errors
Replies: 0
Views: 87

Unstructured data file and HAC robust standard errors

Hello I have created an Unstructured data file to estimate the regressions where 250 firms have several variables' observations across several years, however each firm has a different number of years for which data are available, hence, unstructured file. Does it make much sense to estimate an OLS r...
by oksanakim
Thu Sep 21, 2017 12:40 pm
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

I estimate the first stage Probit (selection stage) (without a code, built-in options in Eviews) and then compute the Inverse mills ratio using the code. Then, I estimate OLS (built-in, not a code) and explicitly include a previously stored Imills as an additional explanatory variable. I don't think...
by oksanakim
Thu Sep 21, 2017 12:20 pm
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

But this only confirms what I mentioned earlier that Heckit and manual estimation return completely different results. :D
by oksanakim
Thu Sep 21, 2017 12:15 pm
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

Thank you, the two codes return the same results for Imills series.
by oksanakim
Thu Sep 21, 2017 11:58 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

Not really, these models are widely used in academic publications, some streams of research assume they are used no matter what. Thank you for the example of the program. Please confirm, is the below program to compute Inverse Mills ratio correct? Thanks a bunch :D eq01.makeresid ordinary eq01.maker...
by oksanakim
Thu Sep 21, 2017 11:00 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

I also wonder why a coefficient on Inverse Mills ratio is not reported when Heckit is used. It's kind of a big deal to discuss whether or not it is significant, at least for academic publications. Thank you.
by oksanakim
Thu Sep 21, 2017 10:58 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

I used Heckam two-step option.
by oksanakim
Thu Sep 21, 2017 10:21 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

I see... Is the command to compute the Inverse Mills raito at least correct? Thanks Startz.
by oksanakim
Thu Sep 21, 2017 10:17 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

Thank you again! I have a related quesiton/observation. I also estimated Heckit in Eviews and then did the same manually: I estimated the first-stage probit model, then computed Inverse mills ratio using one of the commands provided in the forum earlier, and then used it as a dependent variables in ...
by oksanakim
Thu Sep 21, 2017 9:54 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Re: Coputation of fitted values

Thank you Startz! Do you suggest that the second-stage estimation will be incorrect? The reason I fell for the manual estimation is because the Eviews' built in option returns negative R-squared and some menaingless results, compared to standard OLS estimation. This is why I decided to try manual es...
by oksanakim
Thu Sep 21, 2017 9:40 am
Forum: Estimation
Topic: Coputation of fitted values
Replies: 17
Views: 769

Coputation of fitted values

Dear Moderators and Eviews users, I am trying to estimate a 2SLS in two stages, rather using the Eviews' built in option. In the first stage, I regress my endogenous variable Femaledir on all exogenous variables and the instrument, as suggested. How do I then compute fitted values for Femaledir from...
by oksanakim
Wed Sep 20, 2017 7:31 pm
Forum: Estimation
Topic: Inverse Mills raito estimation
Replies: 0
Views: 210

Inverse Mills raito estimation

Hello I have used the Heckit in Eviews 9 but the output is very doubtful, so I decided to estimate the first-stage probit model first and then put Inverse Mills ratio in the second equation estimated with OLS - kind of old style before Heckit was not in Eviews. I found and used a code to compute Inv...

Go to advanced search