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       log:  c:\temp\PROGRAM4.log
  log type:  text
 opened on:  29 Jun 2004, 13:26:12

. quietly{

. while I<3 {
  2. mkmat y1, mat(Y1MAT)
  3. mkmat y2, mat(Y2MAT)
  4. mkmat x1, mat(X1MAT)
  5. mkmat x2, mat(X2MAT)
  6. mkmat x3, mat(X3MAT)
  7. mkmat m1-m100, mat(MMAT)
  8. mat WY1MAT = MMAT*Y1MAT
  9. mat WY2MAT = MMAT*Y2MAT
 10. mat WX2MAT  = MMAT*X2MAT
 11. mat WWX2MAT = MMAT*WX2MAT
 12. mat WX3MAT  = MMAT*X3MAT
 13. mat WWX3MAT = MMAT*WX3MAT
 14. svmat WY1MAT, n(WY1)
 15. svmat WY2MAT, n(WY2)
 16. svmat WX2MAT, n(WX2)
 17. svmat WWX2MAT, n(WWX2)
 18. svmat WX3MAT, n(WX3)
 19. svmat WWX3MAT, n(WWX3)
 20. rename WY11 WY1
 21. rename WY21 WY2
 22. capture rename WX21 WX2
 23. capture rename WWX21 WWX2
 24. capture rename WX31 WX3
 25. capture rename WWX31 WWX3
 26. 
. if I==1 {
 27. gen y =y1 
 28. gen yn=y2 
 29. gen x =x2 
 30. }
 31. else {
 32. drop y yn x
 33. gen y =y2 
 34. gen yn=y1 
 35. gen x =x3 
 36. drop h11 h12 h13 hy1 h21 h22 h23 hy2 h31 h32 h33 hy3 
 37. }
 38. 
. **************************************************************
. * IN THE FIRST STEP ESTIMATE THE MODEL USING TWO-STAGE LEAST *
. *        SQUARES AND GET THE ESTIMATED DISTURBANCES          *
. **************************************************************
. 
. quietly ivreg y (WY1 WY2 yn= x1 x2 x3 WX2 WWX2 WX3 WWX3) x1 x, noconstant 
 39. predict r, resid
 40. gen r2=r^2
 41. egen ss=sum(r2)
 42. scalar S2SLS=ss/(_N-1)
 43. scalar C12SLS=_b[x1]
 44. scalar C22SLS=_b[x]
 45. scalar B12SLS=_b[yn]
 46. scalar LAM12SLS=_b[WY1]
 47. scalar LAM22SLS=_b[WY2]
 48. 
. di _newline(5) _col(30) "Equation" _col(40) I
 49. **************************************************************
. di _newline _col(25) "STEP 1:  2SLS ESTIMATORS"      
 50. di _col(25)          "________________________"           
 51. **************************************************************
. scalar list C12SLS C22SLS B12SLS LAM12SLS LAM22SLS S2SLS
 52. **************************************************************
. 
. 
. 
. 
. **************************************************************
. *   IN THE SECOND STEP USE THE ESTIMATES OF DISTURBANCES     * 
. *          FOR THE GENERAL MOMENTS(GM) ESTIMATOR             *
. **************************************************************
. quietly gmproc1 r
 53. 
. **************************************************************
. di _newline(3) _col(15) "STEP 2:  NLS ESTIMATORS OF RHO AND SIGMA^2"   
 54. di _col(15)             "__________________________________________"      
>  
 55. **************************************************************
. scalar list RHOGM SGM
 56. **************************************************************
.  
. 
. 
. **************************************************************
. *    IN THE THIRD STEP USE THE GM ESTIMATES FOR SPATIAL      *
. *  AUTOREGRESSIVE PARAMETER, CORRECT FOR SPATIAL CORRELATION *
. *  IN DISTURBANCES AND  ESTIMATE THE CORRECTED MODEL BY 2SLS *
. ************************************************************** 
. 
. merge using c:\temp\var4
 57. drop _merge
 58. merge using c:\temp\mmat
 59. if I==1 {
 60. gen y =y1 
 61. gen yn=y2 
 62. gen x =x2 
 63. }
 64. else {
 65. gen y =y2 
 66. gen yn=y1 
 67. gen x =x3 
 68. }
 69. quietly tslsproc4 y y1 y2 yn x x1 x2 x3 m1-m100 RhoGM
 70. 
. **************************************************************
. di _newline(3) _col(15) "STEP 3: GENERALIZED SPATIAL 2SLS ESTIMATOR"         
 71. di _col (15)            "__________________________________________" 
 72. **************************************************************
. scalar list C1H2SLS C2H2SLS B1H2SLS LAM1H2SLS LAM2H2SLS SH2SLS
 73. **************************************************************
. 
. if I==1 {
 74. gen E1 =E 
 75. gen Y1S1=Y1S 
 76. gen Y2S1=Y2S 
 77. gen WY1S1=WY1S 
 78. gen WY2S1=WY2S 
 79. gen X1S1=X1S  
 80. gen XS1=XS
 81. drop _merge
 82. save c:\temp\var.dta, replace
 83. }
 84. else {
 85. gen E2 =E 
 86. gen Y1S2=Y1S 
 87. gen Y2S2=Y2S 
 88. gen WY1S2=WY1S 
 89. gen WY2S2=WY2S 
 90. gen X1S2=X1S  
 91. gen XS2=XS
 92. drop _merge
 93. }
 94. 
. scalar I=I+1
 95. }





                             Equation  1

                        STEP 1:  2SLS ESTIMATORS
                        ________________________
    C12SLS =  3.5305323
    C22SLS =   3.948456
    B12SLS =  1.9998832
  LAM12SLS =  .30096141
  LAM22SLS =  .40190549
     S2SLS =  4.0349704



              STEP 2:  NLS ESTIMATORS OF RHO AND SIGMA^2
              __________________________________________
     RHOGM =  .80143109
       SGM =  1.0779391



              STEP 3: GENERALIZED SPATIAL 2SLS ESTIMATOR
              __________________________________________
   C1H2SLS =   .7859623
   C2H2SLS =  3.9880999
   B1H2SLS =  1.9991561
 LAM1H2SLS =  .30344446
 LAM2H2SLS =  .39682115
    SH2SLS =  1.0728722
file c:\temp\var.dta saved





                             Equation  2

                        STEP 1:  2SLS ESTIMATORS
                        ________________________
    C12SLS =  1.7779761
    C22SLS =  4.9638893
    B12SLS = -2.9738638
  LAM12SLS = -.50420719
  LAM22SLS =  .60388149
     S2SLS =  3.3697639



              STEP 2:  NLS ESTIMATORS OF RHO AND SIGMA^2
              __________________________________________
     RHOGM =  .74787726
       SGM =  1.0225194



              STEP 3: GENERALIZED SPATIAL 2SLS ESTIMATOR
              __________________________________________
   C1H2SLS =  1.1783428
   C2H2SLS =   4.991661
   B1H2SLS = -2.9936345
 LAM1H2SLS = -.50043733
 LAM2H2SLS =  .60073401
    SH2SLS =   .9826382

. 
. quietly{ 

. 
. FGS3SLSPROC



                             Equation  1

    STEP 4: FULL INFORMATION GENERALIZED SPATIAL 3SLS ESTIMATOR
    ____________________________________________________________
   C1H3SLS =  3.9881655
   C2H3SLS =  .79660097
    BH3SLS =  1.9991415
 LAM1H3SLS =  .30337293
 LAM2H3SLS =  .39689216



                             Equation  2

    STEP 4: FULL INFORMATION GENERALIZED SPATIAL 3SLS ESTIMATOR
    ____________________________________________________________
   C1H3SLS =  4.9913237
   C2H3SLS =  1.1657247
    BH3SLS = -2.9934016
 LAM1H3SLS =  .60063985
 LAM2H3SLS = -.50038801

. 
. log close
       log:  c:\temp\PROGRAM4.log
  log type:  text
 closed on:  29 Jun 2004, 13:26:22
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