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Two stage least squares
Posted: Sun Mar 14, 2010 4:12 am
by kungal
Does any one know why it seems to be impossible to get the coefficients that EViews estimates in prab by doing prab manually.
I understand that the standard errors should be different but I can't see how EViews is coming up with its parameter estimates either.
Re: Two stage least squares
Posted: Sun Mar 14, 2010 9:05 am
by EViews Gareth
It is relatively straight forward to mimic the results manually.
Of course it is pretty difficult to tell why you are unable to do it, without knowing what you are doing.
Re: Two stage least squares
Posted: Mon Mar 15, 2010 12:01 am
by kungal
I suppose that would help.
I cannot see what I am doing wrong. I have a set of instruments a, b and c and I regress each of the explanatory variables on a, b and c and click on prab button to create series with the predicted values of each of my explanatory variables. Then I regress my dependent variable on the prab series I have just created. However, the results I obtain are completely different from the results I get if I use the prab option for estimation.
I feel like I must be overlooking something rather important.
Re: Two stage least squares
Posted: Mon Mar 15, 2010 8:41 am
by EViews Gareth
Code: Select all
create u 100
series x=nrnd
series y=nrnd
series z=nrnd
'simple 2SLS
equation eq2sls.tsls y x @ z
equation eq1.ls x z c
eq1.fit xf
equation eq2.ls y xf
Re: Two stage least squares
Posted: Mon Mar 15, 2010 9:02 am
by EViews Gareth
Get's a bit more (and only a bit) if you have one of the regressors as an instrument (which is usually the case, since C is usually both an instrument and a regressor):
Code: Select all
create u 100
series y=nrnd
series x=nrnd
series z=nrnd
equation partialy.ls y c z
partialy.fit yf
equation partialx.ls x c z
partialx.fit xf
equation tsls.tsls y c x @ z c
equation manual.ls yf c xf
Re: Two stage least squares
Posted: Tue Mar 16, 2010 5:15 am
by kungal
Thanks a lot. I got it now