Search found 42 matches

by oksanakim
Fri Jan 19, 2018 10:36 am
Forum: Estimation
Topic: Comparing coefficients accross regressions
Replies: 3
Views: 153

Re: Comparing coefficients accross regressions

Thanks! Would you suggest setting up an equation via a code or there is some built in algorithm that can estimate a system? How would I test for the equality of coefficients once the system is estimated? Thanks again!
by oksanakim
Fri Jan 19, 2018 10:18 am
Forum: Estimation
Topic: Comparing coefficients accross regressions
Replies: 3
Views: 153

Comparing coefficients accross regressions

Hello Eviews users and moderators Please assist with the following. Eviews 10: I am estimating two linear equations that have the same explanatory variables, except for one variable that is defined differently for one equation versus another one. I need to test for statistical significance of the co...
by oksanakim
Tue Dec 12, 2017 7:49 pm
Forum: Econometric Discussions
Topic: Wald test for sum of coefficients when using linear probability model
Replies: 0
Views: 96

Wald test for sum of coefficients when using linear probability model

Hello Eviews users I am estimating a linear probability model (OLS), instead of probit, for a regression where a dependent variable is binary. I then need to test the significant of the sum of the two coefficients. Is Wald (F) test still valid for such estimation, given that the dependent variable i...
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: 145

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: 256

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: 256

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: 175

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: 1641

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: 1641

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: 1641

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: 1641

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: 1641

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: 1641

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: 1641

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: 1641

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 ...

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