Re: [Gretl-users] Testing the endogeneity of one or more regressors in a pooled OLS model?

> What version of gretl is this? (That p-value means "NA", as it obviously > has to be if the F-statistic is numerically negative, but I thought we'd > purged all cases of printing NA as if it were a number.) v1.9.12. I'm not able to build the latest version of -gretl- on my Linux machine (you may remember the fun and games that ensued last time I tried this earlier this year), so I use the latest version that's made available from the repository.

>> I can't properly run IV2SLS models in -gretl- because I only have one IV >> and the main model has 96 predictors, so it responds that I don't have >> enough instruments. > > That sounds like a non-sequitur: for one endogeous variable you need one > additional instrument, regardless of how many exogenous regressors are > included in the model. Have you looked up the syntax of gretl's "tsls"? > It's > > tsls <dependent-var> <regressors> ; <instruments> > > where you repeat any exogenous regressors as (their own) instruments in > the second list, behind the semicolon. For example > > tsls y const x1 x2 n ; const x1 x2 z > > where 'n' represents an endogenous regressor and 'z' the associated > instrument I consulted the command reference for -tsls- and it displayed a rather different example (one where the endogs were completely different to the exogs), but no matter: let me try that when I'm on my machine and I'll report back to you. I've been using point-and-click to run IV2SLS on -gretl-, so it would do me good to run it as syntax.