Multiple endogenous variables in TSLS estimation

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livebythecold
Posts: 4
Joined: Thu Feb 27, 2020 5:18 am

Multiple endogenous variables in TSLS estimation

Postby livebythecold » Tue Apr 07, 2020 1:48 am

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.

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

Postby startz » Tue Apr 07, 2020 6:10 am

In tsls all instruments are used for all variables.

livebythecold
Posts: 4
Joined: Thu Feb 27, 2020 5:18 am

Re: Multiple endogenous variables in TSLS estimation

Postby livebythecold » Thu Apr 09, 2020 12:48 am

In tsls all instruments are used for all variables.
What estimation technique do I use in the case which I described?

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

Postby startz » Thu Apr 09, 2020 6:12 am

In tsls all instruments are used for all variables.
What estimation technique do I use in the case which I described?
I'm not sure you can in EViews. Why would you want to? TSLS is asymptotically efficient.


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