Re: [Gretl-users] strange R^2 with TSLS
On Thu, 6 Dec 2007, Riccardo (Jack) Lucchetti wrote:
I was just unaware of the fact that if the constant is in the
regressor list, it gets automatically added to the instrument
list if not already present...
I think I can see Allin's reasoning here "how can the constant
be endogenous?", but I wonder if this is maybe going a little
too far in protecting the user from his own stupidity. I can't
imagine right now a practical situation when the constant needs
to be among the regressors but not among the instruments, but
hey, it's a free world.
I don't feel strongly about this, but my first reaction is that
it's a low-cost convenience to the user, to add the constant to
the list of instruments if it's among the regressors (and not
already specified as an instrument). If we're to remove this,
we'd have to check that it doesn't break TSLS in the GUI.
I tend to think that if a user really wants to treat the constant
as endogenous, s/he can go ahead and do the two stages of TSLS
manually.
Allin.