Re: [Gretl-users] 2SLS
Dear Allin,
thanks for the answer. I tried to do the tsls and now it works but it only
gives me one equation. What if i wanted both the equations of the system,
could you tell me a procedure?
Then i have to make a 3sls , in this last case what is the syntax to use?
Thanks very much
GM
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From: "Allin Cottrell" <cottrell(a)wfu.edu>
Sent: Sunday, March 15, 2009 12:25 AM
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] 2SLS
On Sat, 14 Mar 2009, Giovanni Madaro wrote:
> I need another information. I'm struggling to make a two least
> squares estimation from my panel data. Can you please give me
> the text i need to write in the command window to tell gretl
> that i want to estimate a system of two equations with
> dependent, endogenous and instrument variables??
Please try the Help entry for tsls, it's quite explicit. The
command syntax is
tsls <depvar> <regressors> ; <instruments>
Exogenous regressors should be given in both <regressors>
and <instruments>.
> I have one main equation:
>
> RIT = VEGA + ASSET + TRAD + CIL + CONC + TIME DUMMIES
>
> in this equation RIT and VEGA are endogenous, so i want the
> second equation to be
>
> VEGA = RIT + ASSET + TRAD + CIL + CONC + TIME DUMMIES
That's not going to work. Your instruments are ASSET, TRAD, CIL,
CONC and the TIME DUMMIES. If VEGA is endogenous you need at
least one more instrument.
Allin Cottrell
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