Two-stage least squares, a regression technique used in fields such as econometrics.
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55 views
2SLS with two instruments for one endogenous variable in matlab
I have one endogenous variable and two instruments for it, and I want to calculate my beta with the direct (one step) matrix formula
$\beta_2sls = X' Z(Z'X)^{-1}Z'X^{-1}X'Z(Z'Z)^{-1}Z'Y$
But if I ...
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1answer
238 views
Estimating two-stage selection model with probit reduced form equation and ols structural form equation in R
I am trying to estimate a selection model of the form:
$Z_i = 1[\alpha_0 + \alpha_1X_{1,i} + \alpha_2X_{2,i} + \delta_i$ > 0]
$Y_i = \beta_0 + \beta_1X_{1,i} + Z_i + \epsilon_i$
where $1[]$ denotes ...
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0answers
129 views
Definition of “optimal” instruments
The book I read (Davidson,MacKinnon - Econometric Theory and Methods) describes the definition of "optimal instrument variables" as the following:
Usually, and this is seen very often in other ...
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1answer
56 views
Are variables, which linear combination results in a endogenous variable, endogenous?
I'm a little bit confused....
Lets say I assume $x$ to be endogenous and I observe that
$x = a v_1 + b v_2 + c v_3$
so that $x$ can be expressed as the perfect linear combination of $v_1, v_2, ...
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1answer
134 views
Being totally stuck at my master thesis: cant figure out this 3 equation SEM
I got smth which looks like this
$y_1 = \alpha_1\cdot y_2 + \alpha_2\cdot y_3 + X\cdot\alpha_3 + u_1$
$y_2 = \beta_1\cdot y_1 + \beta_2\cdot y_3 + X\cdot\beta_3 + u_2$
$y_3 = \gamma_1\cdot y_1 + ...
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1answer
159 views
Asymptotic Efficiency of Two-Stage Least Squares
Apparently Wooldridge, Introductory Econometrics, 2002ed is the only book showing that two-stage least squares (2SLS) is asymptotically efficient. I cannot get a copy of the proof.
Is it correct to ...
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510 views
Why don't my two-stage least squares results make sense?
I used SPSS 19's 2SLS procedure (which is very straightforward, with almost no optional specifications) to predict Y from X after X was predicted based on I, an instrumental variable. Then I tried to ...
