In a previous post (here) I had a few things to say about the dummy variables that we often use in regression analysis. I'm currently making changes to a related paper of mine that's at the "revise and re-submit" stage with a journal. So, to get further feedback, I presented the material in my department's Brown Bag seminar series earlier this week.
If you're interested, you can download the slides for that presentation from here.
© 2012, David E. Giles
Just some basic questions:
ReplyDelete1) Is the use of dummy variables common in TSLS?
2) When estimating a 4-equation TSLS, does estimating each equation and pasting to the model object of E-Views the same with "system" estimation command in E-Views?
Thanks!
1. Yes.
Delete2. Yes, as long as you are declaring the same list of instruments when you estimate each equaiton separately.
Good luck!
Thanks much for the information!
ReplyDeleteWish I had seen that before submitting my dissertation, but I am happy to know that anyway. One question: What happens if we have a variable which is the interaction between one continuous and one dummy variable? Many thanks.
ReplyDeleteThe same problem will arise if the dummy takes just one (or a fixed, can't increase) non-zero value. The estimator for the coeficient will again be inconsistent.
DeleteHi Dave,
ReplyDeleteAwesome blog!
Dave, I am looking some information about Monte Carlo simulation to generate a Probit model via MLE. For example I have y=(0,0,1,0,0)' and I would like to simulate 25 samples after 5, I mean y6,y7. Is it possible that you can give me some advice or useful information?
Thanks for the positive comment! Yes, I have some code from quite some time back. I'll dig it out and post it.
ReplyDelete