Tagged Questions

Two-stage least squares, a regression technique used in fields such as econometrics.

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Can there be endogeneity?

I am performing a regression in which I suspect there could be endogeneity between the main explanatory variable and the dependent. As a first step I perform an OLS regression and then, to control for ...
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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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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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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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