Page 1 of 1
Different estimates based only on the order of the instrumen
Posted: Mon Dec 10, 2012 10:08 am
by EconGrp
Hi.
I have this weird problem:
I am estimating a panel tsls.
The estimation of the model is done encountering no errors or anything of the sort. But when I try to place the instruments in a different order, something really weird happens: my estimates change!
That is,
the case where the instruments are placed in this order
Instr(1) Instr(2) Instr(3)
and the case where they are placed like this (for example)
Instr(1) Instr(3) Instr(2)
, differ in terms of the estimates.
Does anyone have a clue about what is going on?
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 10:16 am
by EViews Gareth
Could you let us know your EViews version number, your build date (available from Help->About EViews), and, if possible, post your workfile.
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 10:25 am
by EconGrp
Eviews 7.1
Sep 10 2010 build
Can't post the workfile atm... but there is some missing data for some of the cross sections, for some of the periods - could that be the problem?
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 10:27 am
by EViews Gareth
Please update to the latest version of EViews 7. You can download the latest update patch from the help menu, or from here:
http://www.eviews.com/downloads/
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 10:30 am
by EconGrp
Ok, thanks - I'll do that.
But do you think that will solve the problem?
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 10:32 am
by EViews Gareth
Hopefully.
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 12:12 pm
by EconGrp
Doesn't work :/
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 12:16 pm
by EViews Gareth
How many instruments did you add, and what is the reported instrument rank?
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 12:50 pm
by EconGrp
I have 7 explanatory variables and a constant. Only one of the explanatory variables is endogenous, and I only got 1 instrument for this. The remaining exogenous explanatory variables I use as instruments for themselves.
I have an instrument rank on 209.
I have 217 individuals in the cross section.
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 12:57 pm
by EViews Gareth
When you get the different results, do you have the same number of observations reported?
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 1:14 pm
by EconGrp
Yes - I do.
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 1:48 pm
by startz
I have 7 explanatory variables and a constant. Only one of the explanatory variables is endogenous, and I only got 1 instrument for this. The remaining exogenous explanatory variables I use as instruments for themselves.
I have an instrument rank on 209.
I have 217 individuals in the cross section.
I'm not sure I'm reading this right, but do you have 209 instruments with 217 observations???? Otherwise something is very screwy, because the instrument rank can't be higher than the number of instruments.
Even if you can't post your workfile, you might want to post your output.
Re: Different estimates based only on the order of the instr
Posted: Mon Dec 10, 2012 2:38 pm
by EViews Glenn
It's a panel. I assume he's doing fixed effects and we're counting the implicit dummy variables as instruments.Though it sounds as though he has fewer than 217 in his final estimation sample.
Re: Different estimates based only on the order of the instr
Posted: Tue Dec 11, 2012 9:12 am
by EconGrp
I have tested the problem using different data - and even though the difference in estimates isn't big, the problem seems to endure over different workfiles.
So I ignore it for now.
I'm now facing a different problem: How do Eviews manage unbalanced panels? Does the program automatically change the estimators, so they'll fit the partly missing data? And is there an easy way to exclude cross sections with missing data, so I only use the balanced panel?
Thanks in advance
Re: Different estimates based only on the order of the instr
Posted: Tue Dec 11, 2012 9:18 am
by EViews Gareth
I cannot replicate what you're seeing at all. The following program creates random data on an unbalanced panel, and always gets identical results for the three equations (even though the order of instruments is different):
Code: Select all
create a 1990 2020 20
series y=nrnd
series x1=nrnd
series x2=nrnd
series z1=nrnd
series z2=nrnd
series z3=nrnd
series z4=nrnd
'make unbalanced
smpl if nrnd>1.1
y = na
pagecontract if y<>na
smpl @all
equation eq1.tsls(cx=f) y c x1 x2 @ c z1 z2 z3 z4
equation eq2.tsls(cx=f) y c x1 x2 @ c z2 z4 z1 z3
equation eq3.tsls(cx=f) y c x1 x2 @ c z3 z1 z4 z2