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re: Re: Re: RE: re:Re: st: Multiple endogenous regressors
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
re: Re: Re: RE: re:Re: st: Multiple endogenous regressors
Date
Fri, 21 Oct 2011 15:51:47 -0400
<>
Yuval said
Moreover, take for example the following system of Kensian (sic) equations:
C=a+bY+u
Y=C+I
Note, that the only way to get consistent estimates in this case is by
the ILS (you cannot employ here the 2SLS)
I''m sure the inability to use 2SLS on a simple Keynesian model will come as a surprise to those of us who write econometrics lecture notes and textbooks, as it is one of the most common textbook examples of IV.
An empirical counterexample:
. webuse klein
. ivregress 2sls consump (totinc = invest)
Instrumental variables (2SLS) regression Number of obs = 22
Wald chi2(1) = 24.24
Prob > chi2 = 0.0000
R-squared = 0.8430
Root MSE = 2.8442
------------------------------------------------------------------------------
consump | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
totinc | .4593425 .0932901 4.92 0.000 .2764971 .6421878
_cons | 26.07967 5.571562 4.68 0.000 15.15961 36.99973
------------------------------------------------------------------------------
Instrumented: totinc
Instruments: invest
Apparently Yuval did not take my response to his point (4) too seriously.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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