How to program tsls in order to save the coefficients?

[vasilika]

hello

I would like to use bootstrap in a tsls equation, therefore I will have to save the coefficients to use them for bootstraping.

If the equation was an OLS, I would write it as follows:

equation ols_reg.ls loan_boot = c(1)* (1/inf_boot-1/thold)+c(2)*do+c(3)*fs

how do I add the instrumental variables in this case and estimate a TSLS ?

thank you for your time.

[trubador]

Suppose that you have two instrumental variables called inst1 and inst2. Then you can estimate a tsls as follows:

equation ols_reg.tsls loan_boot = c(1)* (1/inf_boot-1/thold)+c(2)*do+c(3)*fs @ inst1 inst2

Please see the users guide for more details...

[vasilika]

This works

thank you for your reply

[vasilika]

however now I have a new problem

this is part of the program for bootstraping

for i = 1 to numobs

inf_boot(i) = inf(infdraws(i))

loan_boot(i) = slope_c1*(1/inf_boot(i)-1/thold)+slope_c2*do(i)+slope_c3*fs(i) @ inf(-1) do(-1) fs(-1)

in Bold are the instruments,
but the program won't run due to syntax errors, i believe because of the instruments.
If I refer to the instruments as inf(i-1) it won't work either. or should I just refer to them as just inf(i) as they are bootstrap values?
do you have any idea?
thank you

[trubador]

Programming errors arise from numerous reasons, and therefore it is very difficult to identify the problem just looking at a small portion of the code. For instance, control variables require an exclamation mark on the left:

Code: Select all

for !i = 1 to numobs ..... next

[vasilika]

Actually the program runs, if I remove instruments and the equation is an OLS
the only problem is I want to add instruments,
i is defined as a scalar which takes the values I determine therefore it works.

[EViews Gareth]

You appear to be missing a TSLS command.

[vasilika]

Let me clarify this further

I estimate a TSLS equation
then I save the coefficients which I estimated in the first step
I use these coefficients to generate a bootstrap of the dependent variable
here is the program

equation ols_reg_orig.tsls loan = c(1)* (1/inf-1/thold)+c(2)*do +c(3)*fs @ inf(-1) do(-1) fs(-1)

slope_c1 = c(1)
slope_c2 = c(2)
slope_c3 = c(3)

for i = 1 to numobs

inf_boot(i) = inf(infdraws(i))

loan_boot(i) = slope_c1*(1/inf_boot(i)-1/thold)+slope_c2*do(i)+slope_c3*fs(i) @ inf(-1) do(-1) fs(-1)

next

My question is:
How to save the coefficients of the instruments so that I can use them in last step?
the last step (In bold) works if I remove the instruments.

Thank you for any suggestion.

[trubador]

I think you do not need that information. EViews simultaneously estimates the two stages and the resulting coefficients will directly give you TSLS estimates. So, indeed you should remove the instruments...

[vasilika]

so how do I get loan_boot(i) then?

[trubador]

I am not sure if this is the correct way of bootstrapping. If you are interested, EViews has useful commands to ease the bootstrapping procedure. You can directly generate loan_boot series through the following equation:

Code: Select all

loan_boot = slope_c1*(1/inf_boot-1/thold)+slope_c2*do+slope_c3*fs

Of couse, you need to generate inf_boot series beforehand...

[vasilika]

which I have already done.

So, you are saying that as long as I use bootstraped values of inf, than I don't need to use instruments in order to get the bootstraped values of loan_boot?