Hello,
Assume the following multivariate model
y = a + b_1x_1 + b_2x_2 + u
where x_1 and x_2 are both endogenous variables.
Suppose that lagged values of x_1 and lagged values of x_2 serve as instruments for x_1 and x_2 respectively.
How do I go about assigning instruments for each variables in the same tsls-estimation in EViews? I am using EViews11Univ.
Looking forward to receiving your input and I thanks in advance for any help.
Multiple endogenous variables in TSLS estimation
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livebythecold
- Posts: 4
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startz
- Non-normality and collinearity are NOT problems!
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- Joined: Wed Sep 17, 2008 2:25 pm
Re: Multiple endogenous variables in TSLS estimation
In tsls all instruments are used for all variables.
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livebythecold
- Posts: 4
- Joined: Thu Feb 27, 2020 5:18 am
Re: Multiple endogenous variables in TSLS estimation
What estimation technique do I use in the case which I described?In tsls all instruments are used for all variables.
-
startz
- Non-normality and collinearity are NOT problems!
- Posts: 3797
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Multiple endogenous variables in TSLS estimation
I'm not sure you can in EViews. Why would you want to? TSLS is asymptotically efficient.What estimation technique do I use in the case which I described?In tsls all instruments are used for all variables.
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