[Gretl-users] Re: Allocation of instrumental variables

I believe this should be scripted, it is not standard two-stage least squares. Regress X1 on Z1 and Z2 and obtain the fitted values, say X1_f Regress X2 on Z3 and Z4 and obtain the fitted values, X2_f Regress Y on a constant and X1_f, X2_f, Ψ1,Ψ2. Alecos Papadopoulos PhD Affiliate Researcher Dpt of Economics, Athens University of Economics and Business Foundation for Economic and Industrial Research (IOBE) web: alecospapadopoulos.wordpress.com/ ORCID:0000-0003-2441-4550 On 10/8/2023 20:21, elfsog(a)yahoo.gr wrote: > Consider the following 2SLS model: > > Y= b0 +b1X1+b2X2+θ1Ψ1+θ2Ψ2+e > Where: > Y represents the dependent variable, > X1, X2 denote the endogenous variables, > Ψ1,Ψ2 represent the exogenous variables. > > To address endogeneity in the model, a set of four instruments, is introduced. Two instruments (Z1 and Z2) are employed to instrument for X1, while two other instruments (Z3 and Z4) are used to instrument for X2. > My question is: How Gretl understand which instrument stands for which endogenous variable? > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/ _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/