reg3.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 21mar2005}{...}
{cmd:help reg3}{right:dialog:  {bf:{dialog reg3}} {space 14}}
{right:also see:  {help reg3 postestimation}}
{hline}

{title:Title}

{p2colset 5 17 19 2}{...}
{p2col :{hi:[R] reg3} {hline 2}}Three-stage estimation for systems of
simultaneous equations{p_end}
{p2colreset}{...}


{title:Syntax}

{phang}
Basic syntax

{p 8 14 2}
{cmd:reg3} {cmd:(}{depvar:1} {varlist:1}{cmd:)}
{cmd:(}{it:depvar2} {it:varlist2}{cmd:)} {it:...}{cmd:(}{it:depvarN}
{it:varlistN}{cmd:)} {ifin} {weight}

{phang}
Full syntax

{p 8 14 2}
{cmd:reg3} {cmd:(}[{it:eqname1}{cmd::}]{it:depvar1a}
	[{it:depvar1b} {it:...}{cmd:=}]{it:varlist1} 
        [{cmd:,} {opt noc:onstant}]{cmd:)}{break}
        {cmd:(}[{it:eqname2}{cmd::}]{it:depvar2a}
	[{it:depvar2b} {it:...}{cmd:=}]{it:varlist2} 
        [{cmd:,} {opt noc:onstant}]{cmd:)}{break}
        {it:...}{break}
        {cmd:(}[{it:eqnameN}{cmd::}]{it:depvarNa}
	[{it:depvarNb} {it:...}{cmd:=}]{it:varlistN} 
        [{cmd:,} {opt noc:onstant}]{cmd:)}{break}
        {ifin} {weight} [{cmd:,} {it:{help reg3##options:options}}]{p_end}

{marker options}{...}
{synoptset 26 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Model}
{synopt :{opt ir:eg3}}iterate until estimates converge{p_end}
{synopt :{cmdab:c:onstraints(}{it:{help estimation options##constraints():constraints}}{cmd:)}}apply specified linear constraints{p_end}

{syntab:Model 2}
{synopt :{opth ex:og(varlist)}}exogenous variables not specified in system
equations{p_end}
{synopt :{opth en:dog(varlist)}}additional RHS endogenous variables{p_end}
{synopt :{opth in:st(varlist)}}full list of exogenous variables{p_end}
{synopt :{opt a:allexog}}all right-hand-side variables are exogenous{p_end}
{synopt :{opt noc:onstant}}suppress instrument constant term{p_end}

{syntab:Est. method}
{synopt :{opt 3sls}}three-stage least squares; the default{p_end}
{synopt :{opt 2sls}}two-stage least square{p_end}
{synopt :{opt o:ls}}ordinary least squares{p_end}
{synopt :{opt su:re}}seemingly unrelated regression{p_end}
{synopt :{opt m:vreg}}sure with OLS degree-of-freedom adjustment{p_end}
{synopt :{opt corr(correlation)}}{opt i:ndependent} or {opt u:nstructured}
correlation structure; default is {opt unstructured}{p_end}

{syntab:df adj.}
{synopt :{opt sm:all}}report small-sample statistics{p_end}
{synopt :{opt dfk}}adjust for number of covariates when computing disturbance
covariance{p_end}
{synopt :{opt dfk2}}use mean residual degrees of freedom when computing
disturbance covariance{p_end}

{syntab:Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is
{cmd:level(95)}{p_end}
{synopt :{opt f:irst}}report first-stage estimates{p_end}

{syntab:Opt options}
{synopt :{it:{help reg3##optimization_options:optimization_options}}}control
the optimization process; seldom used{p_end}

{p2coldent:+ {opt noh:eader}}suppress display of header{p_end}
{p2coldent:+ {opt not:able}}suppress display of coefficient table{p_end}
{p2coldent:+ {opt nofo:oter}}suppress display of footer{p_end}
{synoptline}
{p2colreset}{...}
{p 4 6 2}+ {opt noheader}, {opt notable}, and {opt nofooter} do not appear in
the dialog box.{p_end}
{p 4 6 2}{it:depvar} and {it:varlist} may contain time-series operators; see
{help tsvarlist}.{p_end}
{p 4 6 2}{cmd:bootstrap}, {cmd:by}, {cmd:jackknife}, {cmd:rolling},
{cmd:statsby}, and {cmd:xi} are allowed; see {help prefix}.{p_end}
{p 4 6 2}{cmd:aweight}s and {cmd:fweight}s are allowed, see 
{help weight}.{p_end}
{p 4 6 2}See {help reg3 postestimation} for additional capabilities of
estimation commands.{p_end}

{pstd}
Explicit equation naming ({it:eqname}{cmd::}) cannot be combined with
multiple dependent variables in an equation specification.


{title:Description}

{pstd}
{cmd:reg3} estimates a system of structural equations, where some equations
contain endogenous variables among the explanatory variables.  Estimation is
via three-stage least squares (3SLS).  Typically, the endogenous explanatory
variables are dependent variables from other equations in the system.
{cmd:reg3} supports iterated GLS estimation and linear constraints.

{pstd}
{cmd:reg3} can also estimate systems of equations by seemingly unrelated
regression (SURE), multivariate regression (MVREG), and equation-by-equation
ordinary least squares (OLS) or two-stage least squares (2SLS).


{title:Nomenclature}

{pstd}
Under 3SLS or 2SLS estimation, a structural equation is defined as
one of the equations specified in the system.  Dependent variable will
have its usual interpretation as the left-hand-side variable in an equation
with an associated disturbance term.  All dependent variables are explicitly
endogenous to the system and as such are treated as correlated with the
disturbances in the system's equations.  Unless specified in an {cmd:endog()}
option, all other variables in the system are treated as exogenous to the
system and uncorrelated with the disturbances.  The exogenous variables are
taken to be instruments for the endogenous variables.


{title:Options}

{dlgtab:Model}

{phang}
{cmd:ireg3} causes {cmd:reg3} to iterate over the estimated disturbance
covariance matrix and parameter estimates until the parameter estimates
converge.  Although the iteration is usually successful, there is no guarantee
that it will converge to a stable point.  Under seemingly unrelated
regression, this iteration converges to the maximum likelihood estimates.

{phang}
{opt constraints(constraints)}; see
    {help estimation options##constraints():estimation options}.

{dlgtab:Model 2}

{phang}
{opth exog(varlist)} specifies additional exogenous variables that are not
included in any of the system equations.  This can occur when the system
contains identities that are not estimated.  If implicitly exogenous variables
from the equations are listed here, {cmd:reg3} will just ignore the additional
information.  Specified variables will be added to the exogenous variables in
the system and used in the "first stage" as instruments for the endogenous
variables.  By specifying dependent variables from the structural equations,
you can use {opt exog()} to override their endogeneity.

{phang}
{opth endog(varlist)} identifies variables in the system that are not
dependent variables, but are endogenous to the system.  These variables must
appear in the variable list of at least one equation in the system.  Again
the need for this identification often occurs when the system contains
identities.  For example, a variable that is the sum of an exogenous variable
and a dependent variable may appear as an explanatory variable in some
equations.

{phang}
{opth inst(varlist)} specifies a full list of all exogenous variables and may
not be used with the {opt endog()} or {opt exog()} options.  It must contain a
full list of variables to be used as instruments for the endogenous
regressors.  Like {opt exog()}, the list may contain variables not specified
in the system of equations.  This option can be used to achieve the same
results as the {opt endog()} and {opt exog()} options, and the choice is a
matter of convenience.  Any variable not specified in the {it:varlist} of the
{opt inst()} option is assumed to be endogenous to the system.  As with 
{opt exog()}, including the dependent variables from the structural equations
will override their endogeneity.

{phang}
{opt allexog} indicates that all right-hand-side variables are to be
treated as exogenous{hline 2}even if they appear as the dependent variable
of another equation in the system.  This option can be used to enforce a
seemingly unrelated regression or multivariate regression estimation even when
some dependent variables appear as regressors.

{phang}
{cmd:noconstant}; see {help estimation options##noconstant:estimation options}.

{dlgtab:Est. method}

{phang}
{opt 3sls} specifies the full three-stage least-squares estimation of
the system and is the default for {cmd:reg3}.

{phang}
{opt 2sls} causes {cmd:reg3} to perform equation-by-equation two-stage least