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Considere el ejemplo 15.4 del libro de Judge et. al. (pag. 656) en el cual se tiene el
siguiente sistema de tres ecuaciones simultneas (15.4.1.a.):
y1 = y 2 21 + y 3 31 + x1 11 + e1
y 2 = y1 12 + x1 12 + x 2 22 + x3 32 + x 4 42 + e2
y 3 = y 2 23 + x1 13 + x 2 23 + x5 53 + e3
Se tiene los siguientes datos de cada una de las variables con las cuales se desea efectuar la
estimacin de las ecuaciones mediante mnimos cuadrados ordinarios, mnimos cuadrados
en dos etapas y mnimos cuadrados en tres etapas.
Base de datos. (Tabla 15.1 Pag. 657. Judge)
Y1 Y2 Y3 X1 X2 X3 X4 X5
359.27 102.96 578.49 1 3.06 1.34 8.48 28
415.76 114.38 650.86 1 3.19 1.44 9.16 35
435.11 118.23 684.87 1 3.3 1.54 9.9 37
440.17 120.45 680.47 1 3.4 1.71 11.02 36
410.66 116.25 642.19 1 3.48 1.89 11.64 29
530.33 140.27 787.41 1 3.6 1.99 12.73 47
557.15 143.84 818.06 1 3.68 2.22 13.88 50
472.8 128.2 712.16 1 3.72 2.43 14.5 35
471.76 126.65 722.23 1 3.92 2.43 15.47 33
538.3 141.05 811.44 1 4.15 2.31 16.61 40
547.76 143.71 816.36 1 4.35 2.39 17.4 38
539 142.37 807.78 1 4.37 2.63 18.83 37
677.6 173.13 983.53 1 4.59 2.69 20.62 56
943.85 223.21 1292.99 1 5.23 3.35 23.76 88
893.42 198.64 1179.64 1 6.04 5.81 26.52 62
871 191.89 1134.78 1 6.36 6.38 27.45 51
793.93 181.27 1053.16 1 7.04 6.14 30.28 29
850.36 180.56 1085.91 1 7.81 6.14 25.4 22
967.42 208.24 1246.99 1 8.09 6.19 28.84 38
1102.61 235.43 1401.94 1 9.24 6.69 34.36 41
1
Procedimiento en Stata
. * Primera ecuacin:
. reg y1 y2 y3
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | -6.036774 1.424078 -4.24 0.001 -9.041316 -3.032231
y3 | 1.871742 .2274043 8.23 0.000 1.391961 2.351524
_cons | -107.2205 21.95716 -4.88 0.000 -153.546 -60.89489
------------------------------------------------------------------------------
. * Segunda ecuacin:
. reg y2 y1 x2 x3 x4
------------------------------------------------------------------------------
y2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y1 | .1961503 .0036274 54.07 0.000 .1884186 .203882
x2 | -3.867653 .517631 -7.47 0.000 -4.970958 -2.764349
x3 | -6.064856 .4781135 -12.68 0.000 -7.08393 -5.045781
x4 | 1.639327 .1377964 11.90 0.000 1.345621 1.933033
_cons | 39.53617 1.054067 37.51 0.000 37.28948 41.78286
------------------------------------------------------------------------------
. * Tercera ecuacin:
. reg y3 y2 x2 x5
------------------------------------------------------------------------------
y3 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | 1.38193 .4278765 3.23 0.005 .4748724 2.288988
x2 | 90.96062 7.753938 11.73 0.000 74.52301 107.3982
x5 | 5.794933 .5601903 10.34 0.000 4.607383 6.982484
_cons | -1.355566 6.911302 -0.20 0.847 -16.00687 13.29574
------------------------------------------------------------------------------
2
. * Estimacin por el mtodo de mnimos cuadrados en dos etapas
(ecuacin por ecuacin). Note que todas las variables exgenas en el sistema se incluyen
como lista de variables instrumentales.
. * Primera ecuacin:
First-stage regressions
-----------------------
------------------------------------------------------------------------------
y2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x2 | 17.40785 .7146592 24.36 0.000 15.88459 18.93111
x3 | -3.314505 .6122153 -5.41 0.000 -4.619411 -2.009599
x4 | 1.014514 .1827241 5.55 0.000 .625047 1.403981
x5 | 1.2081 .0281782 42.87 0.000 1.14804 1.268161
_cons | 12.5467 1.628307 7.71 0.000 9.07605 16.01736
------------------------------------------------------------------------------
------------------------------------------------------------------------------
y3 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x2 | 117.7659 1.806375 65.19 0.000 113.9157 121.6161
x3 | -7.908896 1.547438 -5.11 0.000 -11.20718 -4.610611
x4 | 1.556596 .461854 3.37 0.004 .5721772 2.541014
x5 | 7.46698 .0712234 104.84 0.000 7.315171 7.618789
_cons | 10.67843 4.115715 2.59 0.020 1.905989 19.45087
------------------------------------------------------------------------------
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | -9.408592 1.959456 -4.80 0.000 -13.54268 -5.274501
y3 | 2.409556 .3127735 7.70 0.000 1.749661 3.06945
_cons | -65.89405 28.52199 -2.31 0.034 -126.0702 -5.717905
------------------------------------------------------------------------------
Instrumented: y2 y3
Instruments: x2 x3 x4 x5
------------------------------------------------------------------------------
3
. * Segunda ecuacin:
First-stage regressions
-----------------------
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x2 | 108.544 1.18279 91.77 0.000 106.023 111.0651
x3 | 14.05168 1.013241 13.87 0.000 11.89201 16.21135
x4 | -3.213271 .3024158 -10.63 0.000 -3.857855 -2.568687
x5 | 6.165687 .0466362 132.21 0.000 6.066285 6.26509
_cons | -137.8361 2.694915 -51.15 0.000 -143.5802 -132.092
------------------------------------------------------------------------------
------------------------------------------------------------------------------
y2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y1 | .1959393 .0036294 53.99 0.000 .1882034 .2036752
x2 | -3.860193 .517703 -7.46 0.000 -4.96365 -2.756735
x3 | -6.067781 .4781697 -12.69 0.000 -7.086976 -5.048587
x4 | 1.64412 .1378331 11.93 0.000 1.350336 1.937905
_cons | 39.55421 1.054225 37.52 0.000 37.30718 41.80124
------------------------------------------------------------------------------
Instrumented: y1
Instruments: x2 x3 x4 x5
------------------------------------------------------------------------------
. * Tercera ecuacin:
First-stage regressions
-----------------------
------------------------------------------------------------------------------
y2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x2 | 17.40785 .7146592 24.36 0.000 15.88459 18.93111
x5 | 1.2081 .0281782 42.87 0.000 1.14804 1.268161
x3 | -3.314505 .6122153 -5.41 0.000 -4.619411 -2.009599
x4 | 1.014514 .1827241 5.55 0.000 .625047 1.403981
_cons | 12.5467 1.628307 7.71 0.000 9.07605 16.01736
------------------------------------------------------------------------------
4
Instrumental variables (2SLS) regression
------------------------------------------------------------------------------
y3 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | 1.939868 .5262442 3.69 0.002 .8242807 3.055456
x2 | 80.87406 9.530384 8.49 0.000 60.67055 101.0776
x5 | 5.069837 .687618 7.37 0.000 3.612152 6.527522
_cons | -8.792443 8.12776 -1.08 0.295 -26.02252 8.43764
------------------------------------------------------------------------------
Instrumented: y2
Instruments: x2 x5 x3 x4
------------------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y1 |
y3 | 2.446696 .2795843 8.75 0.000 1.898721 2.994671
y2 | -9.640954 1.751682 -5.50 0.000 -13.07419 -6.20772
_cons | -63.11623 25.76019 -2.45 0.014 -113.6053 -12.62718
-------------+----------------------------------------------------------------
y2 |
y1 | .1989394 .0022244 89.44 0.000 .1945796 .2032991
x2 | -3.747982 .322986 -11.60 0.000 -4.381023 -3.114941
x3 | -6.139365 .3045882 -20.16 0.000 -6.736347 -5.542384
x4 | 1.543914 .100502 15.36 0.000 1.346934 1.740895
_cons | 39.20859 .7726322 50.75 0.000 37.69425 40.72292
-------------+----------------------------------------------------------------
y3 |
y2 | 2.223696 .3400349 6.54 0.000 1.55724 2.890152
x2 | 75.88808 6.292307 12.06 0.000 63.55539 88.22078
x5 | 4.666786 .4130684 11.30 0.000 3.857186 5.476385
_cons | -11.86901 6.277129 -1.89 0.059 -24.17195 .4339392
------------------------------------------------------------------------------
Endogenous variables: y1 y2 y3
Exogenous variables: x2 x3 x4 x5
------------------------------------------------------------------------------
5
. * Otra manera de programar para estimar el sistema por mnimos cuadrados en tres etapas:
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" chi2 P
----------------------------------------------------------------------
y1 20 2 16.32997 0.9945 3763.03 0.0000
y2 20 4 .9619987 0.9994 33824.52 0.0000
y3 20 3 4.366789 0.9997 69417.14 0.0000
----------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y1 |
y3 | 2.446696 .2795843 8.75 0.000 1.898721 2.994671
y2 | -9.640954 1.751682 -5.50 0.000 -13.07419 -6.20772
_cons | -63.11623 25.76019 -2.45 0.014 -113.6053 -12.62718
-------------+----------------------------------------------------------------
y2 |
y1 | .1989394 .0022244 89.44 0.000 .1945796 .2032991
x2 | -3.747982 .322986 -11.60 0.000 -4.381023 -3.114941
x3 | -6.139365 .3045882 -20.16 0.000 -6.736347 -5.542384
x4 | 1.543914 .100502 15.36 0.000 1.346934 1.740895
_cons | 39.20859 .7726322 50.75 0.000 37.69425 40.72292
-------------+----------------------------------------------------------------
y3 |
y2 | 2.223696 .3400349 6.54 0.000 1.55724 2.890152
x2 | 75.88808 6.292307 12.06 0.000 63.55539 88.22078
x5 | 4.666786 .4130684 11.30 0.000 3.857186 5.476385
_cons | -11.86901 6.277129 -1.89 0.059 -24.17195 .4339392
------------------------------------------------------------------------------
Endogenous variables: y1 y2 y3
Exogenous variables: x2 x3 x4 x5
------------------------------------------------------------------------------