Modelos de ecuaciones simultaneas II.

Do-File
Daniel Poveda1

set matsize 5000

gen uno=1
gen cero=0
mkmat consump wagepriv capital1 wagegovt govt uno cero
*Conformaci
on de matrices
matrix x=uno, capital1, wagegovt, govt
matrix y1= consump
matrix y2= wagepriv
matrix h1= uno, wagepriv, wagegovt
matrix h2=uno, consump, govt, capital1
matrix px=x*inv(x*x)*x
** MC2E
*Ecuacion 1
matrix d1=(inv(h1*px*h1))*(h1*px* consump)
matrix list d1
*Ecuacion 2
matrix d2=(inv(x*h2))*(x* wagepriv)
matrix list d2
*Correlacion entre los errores y comando Stata
reg3 ( consump= wagepriv wagegovt) ( wagepriv= consump govt capital1), 2sls
predict e1, residuals equation( consump)
predict e2, residuals equation ( wagepriv)
pwcorr e1 e2, sig star(5)

**MC3E
*Matriz sigma MC2E
correlate e1 e2, covariance
matrix sigma=3.30548,2.4084\ 2.4084,6.3422615
matrix list sigma
*Matriz y
matrix ytres= y1\ y2
*Matriz z
matrix z= h1, cero, cero, cero, cero\ cero, cero, cero, h2
*Matriz de correccion w
matrix w=inv(sigma)#px
*Estimadores
matrix bmc3e= (inv(z*w*z))*(z*w*ytres)
1 Laboratorio

de Matem
aticas Aplicadas. Universidad de los Andes. Correo electr
onico: df.poveda91@uniandes.edu.co

matrix list bmc3e

*Comando Stata
reg3 ( consump= wagepriv wagegovt) ( wagepriv= consump govt capital1)
*Modelo SUR
set matsize 5000
gen uno=1
gen cero=0
mkmat inv_ma v_ma k_ma inv_ca v_ca k_ca uno cero
matrix ysur= inv_ma\ inv_ca
matrix xsur= uno, v_ma, k_ma, cero, cero, cero\cero, cero, cero, uno,
matrix list xsur
regress inv_ma v_ma k_ma
predict e1, residuals
regress inv_ca v_ca k_ca
predict e2, residuals
correlate e1 e2, covariance
matrix sigma=695.61, 185.736\ 185.736, 93.3281
matrix id=I(20)
matrix w=inv(sigma)#id
matrix dsur=inv(xsur*w*xsur)*xsur*w*ysur
matrix list dsur
sureg ( inv_ma v_ma k_ma) ( inv_ca v_ca k_ca), corr
correlate e1 e2

v_ca, k_ca