Re: [Gretl-users] strange R^2 with TSLS
On Thu, 6 Dec 2007, Riccardo (Jack) Lucchetti wrote:
On Thu, 6 Dec 2007, Sven Schreiber wrote:
> Hello gretl users,
>
> yet again one of those tsls-problems of mine...
>
> It seems to me that TSLS doesn't calculate the R^2 correctly. Actually, it
> produces exactly the same values as the corresponding OLS estimation. For
> example, the three-liner
>
> open denmark
> ols IDE 0 IBO
> tsls IDE 0 IBO; LRY
Hold on a second. Never mind the R^2 index; the tsls command should never
work here (2 regressors and 1 instrument). The fact that you manage to get an
output at all is very very wrong. I'll try to see what goes wrong as soon as
I get a chance (unlikely before tomorrow).
Ok, folks, nothing to worry about; tsls does work as it should. 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.
However, there's a "FIXME" comment in that portion of the code.
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.
So, unless someone steps up in the next couple of days giving me a good
reason for not doing it, I'll remove this feature from CVS (it's easy to
revert the change if needed).
Allin, feel free to put me under trial for high treason when you're back
:-)
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti