Hello listers, greetings from Paris !
Still on my system estimation commands, I have a few difficulties with
the use of instruments.
I would like to estimate a system of two equations with one different
variable and one instrumented variable (income). So I use the syntax for
tsls to specifiy regressors and instruments on the same line :
=================================================== script exerpt
==============================================================
list socdemo = CHILD LOCATAIRE AUTOMOBILE
system name=AIDS
equation WLOG const lnPLOGCOMP lnPCARBCOMP lnDEPTOTR socdemo MRLOG ;
const lnPLOGCOMP lnPCARBCOMP lnREVTOTUCR socdemo MRLOG
equation WCAR const lnPLOGCOMP lnPCARBCOMP lnDEPTOTR socdemo MRCAR ;
const lnPLOGCOMP lnPCARBCOMP lnREVTOTUCR socdemo MRCAR
end system
restrict AIDS
b[1,3]-b[2,2]=0
end restrict
estimate AIDS method=3sls
=================================================== end script exerpt
==============================================================
but the command fails as gretl says : "variable 0 duplicated in commands
list"
GRETL seems not to accept my instruments, in this AIDS model total
expense (lnDEPTOTR) is instrumented by income (lnREVTOTUCR) ; all other
variables being the same except the last ones (MRLOG and MRCAR) which
are specific to each equation (and must remain different).
If i use both MLOG and MCAR in each equation, system estimation runs ok
but does not makes sense on a statistical perspective.
Any advice from the list ?
sincerely
Franck