ECONOMETRIA 2 - ECON 3301 - SEMESTRE II - 08

Profesor: Ramn Rosales; rrosales@uniandes.edu.co

Profesor Taller: William Delgado; w-delgad@uniandes.edu.co
Profesor Taller: Juan Carlos Vasquez; jvasquez@uniandes.edu.co
Profesor Taller: Diego Marino; dmarino@uniandes.edu.co
Monitor: Alejandro Urrego; j-urrego@uniandes.edu.co
Monitor: Juan Sebastin Snchez; jua-sanc@uniandes.edu.co
Monitor: Francisco Correa; fr-corre@uniandes.edu.co
Monitor: Carlos Morales; and-mora@uniandes.edu.co

EJC 5: ECUACIONES SIMULTNEAS: MINIMOS CUADRADOS ORDINARIOS,

MNIMOS CUADRADOS EN DOS ETAPAS Y MINIMOS CUADRADOS EN TRES
ETAPAS.

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

. * Estimacin por el mtodo de mnimos cuadrados ordinarios (ecuacin

por ecuacin). Note que X1 hace las veces del intercepto en cada ecuacin.

. * Primera ecuacin:

. reg y1 y2 y3

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 2, 17) = 2116.24
Model | 964394.6 2 482197.3 Prob > F = 0.0000
Residual | 3873.5508 17 227.855929 R-squared = 0.9960
-------------+------------------------------ Adj R-squared = 0.9955
Total | 968268.15 19 50961.4816 Root MSE = 15.095

------------------------------------------------------------------------------
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

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 4, 15) = 6345.12
Model | 29579.3426 4 7394.83564 Prob > F = 0.0000
Residual | 17.481556 15 1.16543706 R-squared = 0.9994
-------------+------------------------------ Adj R-squared = 0.9993
Total | 29596.8241 19 1557.72759 Root MSE = 1.0796

------------------------------------------------------------------------------
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

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 3, 16) =20471.93
Model | 1160385.73 3 386795.245 Prob > F = 0.0000
Residual | 302.302875 16 18.8939297 R-squared = 0.9997
-------------+------------------------------ Adj R-squared = 0.9997
Total | 1160688.04 19 61088.8441 Root MSE = 4.3467

------------------------------------------------------------------------------
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:

. ivreg y1 (y2 y3 = x2 x3 x4 x5), first

First-stage regressions
-----------------------

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 4, 15) = 3999.39
Model | 29569.0989 4 7392.27472 Prob > F = 0.0000
Residual | 27.7252629 15 1.84835086 R-squared = 0.9991
-------------+------------------------------ Adj R-squared = 0.9988
Total | 29596.8241 19 1557.72759 Root MSE = 1.3595

------------------------------------------------------------------------------
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
------------------------------------------------------------------------------

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 4, 15) =24568.96
Model | 1160510.91 4 290127.727 Prob > F = 0.0000
Residual | 177.130617 15 11.8087078 R-squared = 0.9998
-------------+------------------------------ Adj R-squared = 0.9998
Total | 1160688.04 19 61088.8441 Root MSE = 3.4364

------------------------------------------------------------------------------
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
------------------------------------------------------------------------------

Instrumental variables (2SLS) regression

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 2, 17) = 1596.41
Model | 963117.025 2 481558.513 Prob > F = 0.0000
Residual | 5151.12518 17 303.007364 R-squared = 0.9947
-------------+------------------------------ Adj R-squared = 0.9941
Total | 968268.15 19 50961.4816 Root MSE = 17.407

------------------------------------------------------------------------------
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:

. ivreg y2 (y1 = x2 x3 x4 x5) x2 x3 x4, first

First-stage regressions
-----------------------

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 4, 15) =47807.90
Model | 968192.206 4 242048.052 Prob > F = 0.0000
Residual | 75.9439522 15 5.06293015 R-squared = 0.9999
-------------+------------------------------ Adj R-squared = 0.9999
Total | 968268.15 19 50961.4816 Root MSE = 2.2501

------------------------------------------------------------------------------
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
------------------------------------------------------------------------------

Instrumental variables (2SLS) regression

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 4, 15) = 6341.49
Model | 29579.3386 4 7394.83466 Prob > F = 0.0000
Residual | 17.4854997 15 1.16569998 R-squared = 0.9994
-------------+------------------------------ Adj R-squared = 0.9993
Total | 29596.8241 19 1557.72759 Root MSE = 1.0797

------------------------------------------------------------------------------
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:

ivreg y3 (y2 = x2 x3 x4 x5) x2 x5, first

First-stage regressions
-----------------------

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 4, 15) = 3999.39
Model | 29569.0989 4 7392.27472 Prob > F = 0.0000
Residual | 27.7252629 15 1.84835086 R-squared = 0.9991
-------------+------------------------------ Adj R-squared = 0.9988
Total | 29596.8241 19 1557.72759 Root MSE = 1.3595

------------------------------------------------------------------------------
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

Source | SS df MS Number of obs = 20

-------------+------------------------------ F( 3, 16) =18506.73
Model | 1160353.61 3 386784.536 Prob > F = 0.0000
Residual | 334.428959 16 20.9018099 R-squared = 0.9997
-------------+------------------------------ Adj R-squared = 0.9997
Total | 1160688.04 19 61088.8441 Root MSE = 4.5718

------------------------------------------------------------------------------
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
------------------------------------------------------------------------------

. * Estimacin por el mtodo de mnimos cuadrados en tres etapas.

Bajo este mtodo estimamos el sistema completo en un solo paso.

. reg3 (y1 y3 y2) (y2 y1 x2 x3 x4) (y3 y2 x2 x5)

Three-stage least-squares regression

----------------------------------------------------------------------
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
------------------------------------------------------------------------------

5
. * Otra manera de programar para estimar el sistema por mnimos cuadrados en tres etapas:

. global eq1 (y1 y3 y2)

. global eq2 (y2 y1 x2 x3 x4)

. global eq3 (y3 y2 x2 x5)

. reg3 $eq1 $eq2 $eq3

Three-stage least-squares regression

----------------------------------------------------------------------
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
------------------------------------------------------------------------------

. * Compare los resultados de las estimaciones.

.
end of do-file