Re: [Gretl-devel] different behavior of tsls under just ond over identification
On Tue, 10 Oct 2017, oleg_komashko(a)ukr.net wrote:
The matter is as follows:
Under over-identification the
constant is added automatically,
but under just identification
it is not added.
OK, that's now fixed in git. For anyone not tuned into this thread
before, this means that (for example)
open data4-10
tsls ENROLL const INCOME ; COLLEGE
will now work, whereas before you'd have got an error message saying
that the order condition was not satisfied. In one sense the latter
is true (2 regressors but just 1 instrument) but in a substantive
sense it's false since there's no way "const" can be endogenous; we
should treat it as (its own) instrument even if it is not explicitly
listed among the instruments.
In fact we were doing this before, but as Oleh pointed out, only in
the over-identified case (an oversight).
Allin