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Title

meloreg2: Minimum Expected Loss (MELO) Instrumental Variables Regression

Table of Contents

Syntax

Options

Weight Options

Weighted Variable Type Options

Description

Saved Results

References

*** Examples

Author

Syntax

meloreg2 depvar indepvars (endog = inst) [if] [in] , [ noconstant noconexog dn

weights(type) wvar(varname) predict(new_var) resid(new_var) ]

Options

noconstant Exclude Constant Term from RHS Equation only

noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress and ivreg2.
Including Constant Term in both RHS and Instrumental Equations is default in meloreg2

dn Use (N) divisor instead of (N-K) for Degrees of Freedom (DF)

predict(new_var) Predicted values variable

resid(new_var) Residuals values variable

Weight Options

wvar(varname) Weighted Variable Name

Weighted Variable Type Options

Type Options Description

weights(yh) Yh - Predicted Value

weights(yh2) Yh^2 - Predicted Value Squared

weights(abse) abs(E) - Absolute Value of Residual

weights(e2) E^2 - Residual Squared

weights(le2) log(E^2) - Log Residual Squared

weights(x) (x) Variable

weights(xi) (1/x) Inverse Variable

weights(x2) (x^2) Squared Variable

weights(xi2) (1/x^2) Inverse Squared Variable

Description

meloreg2 estimate Minimum Expected Loss (MELO) Instrumental Variables Regression. meloreg2 dont deal with Missing values (.) in variables

Saved Results

meloreg2 saves the following in e():

e(f) F Test
e(fp) F Test P-Value
e(N) Number of obs
e(r2c) R2
e(r2c_a) adj R2
e(r2cc) Corrected R2
e(r2cc_a) adj Corrected R2
e(r2u) Raw R2
e(r2u_a) Adj Raw R2
e(sig) Sigma (MSE)
e(wald) Wald Test
e(waldp) Wald Test P-Value

Matrixes
e(b) coefficient vector
e(V) variance-covariance matrix of the estimators

References

Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985)
"The Theory and Practice of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA; 615.

Park, S. (1982)
"Some Sampling Properties of Minimum Expected Loss (MELO) Estimators of Structural Coefficients",
J. Econometrics, Vol. 18, No. 2, April,; 295-311.

Zellner, Arnold (1978)
"Estimation of Functions of Population Means and Regression Coefficients Including Structural Coefficients: A Minimum Expected Loss (MELO) Approach",
J. Econometrics, Vol. 8,; 127-158.

Zellner, Arnold & S. Park (1979)
"Minimum Expected Loss (MELO) Estimators for Functions of Parameters and Structural Coefficients of Econometric Models",
J. Am. Stat. Assoc., Vol. 74; 185-193.

Examples

clear all

sysuse meloreg2.dta , clear

db meloreg2

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4)

ereturn list

tsset t

gen y1_1=L.y1

*** replace missing value in first observation with (0).
replace y1_1= 0 if y1_1 == .

meloreg2 y1 y1_1 x1 x2 (y2 = y1_1 x1 x2 x3 x4)

* Weighted MELO (WMELO)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(yh)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(yh2)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(abse)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(e2)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(le2)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(x) wvar(x1)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(xi) wvar(x1)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(x2) wvar(x1)

meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , weights(xi2) wvar(x1)

. clear all
. sysuse meloreg2.dta , clear
. meloreg2 y1 x1 x2 (y2 = x1 x2 x3 x4)
==============================================================================
* Minimum Expected Loss (MELO) Instrumental Variables Regression)
==============================================================================
y1 = y2 + x1 + x2
------------------------------------------------------------------------------
K - Class (MELO) Value = 0.72727
Number of Obs = 17
Wald Test = 81.2132 P-Value > Chi2(3) = 0.0000
F Test = 27.0711 P-Value > F(3 , 13) = 0.0000
R-squared = 0.8616 Raw R2 = 0.9955
R-squared Adj = 0.8297 Raw R2 Adj = 0.9945
Root MSE (Sigma) = 10.1364 Log Likelihood Function = -61.2160
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | .1951374 .2125644 0.92 0.375 -.2640801 .6543549
x1 | .3229772 .5276595 0.61 0.551 -.8169618 1.462916
x2 | -1.101973 .3260175 -3.38 0.005 -1.806291 -.3976546
_cons | 152.1958 58.82774 2.59 0.023 25.10624 279.2854
------------------------------------------------------------------------------

Author

Emad Abd Elmessih Shehata
Assistant Professor
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
WebPage: http://emadstat.110mb.com/stata.htm
WebPage at IDEAS: http://ideas.repec.org/f/psh494.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm

meloreg2 Citation

Shehata, Emad Abd Elmessih (2012)

MELOREG2: "Stata Module to Estimate Minimum Expected Loss (MELO) Instrumental Variables Regression"

Online Help:

ivregress, diagreg2, meloreg2, (if installed)}.