EViews.com

Posted: **Mon Dec 17, 2012 7:02 pm**

I estimate a model using 2sls in EViews 7,
but the outputs are different from my manual two stages OLS, namely
first, regress y2 on c x1 z1 z2, where y2 are endogenous, x1 are exogenous, z1,z2 are IVs, and predict y2, say y2_p
second, regress y1 on c x1 y2_p.
I konw the standard error is wrong, but the estimates should be the same as those of 2sls in EViews.
So, could you please help me to interpret this?
Thank you!

Posted: **Tue Dec 18, 2012 7:42 am**

Perhaps you should post each of your regressions and the 2sls output.

Posted: **Tue Dec 18, 2012 9:01 am**

Here's some code I wrote a long time ago that replicates various 2SLS models.

Code: Select all


create u 100
series x=nrnd
series y=nrnd
series z=nrnd
series w=nrnd


'simple 2SLS 

	equation eq2sls.tsls y x @ z
	
	equation eq1.ls x z c
	eq1.fit xf

	equation eq2.ls y xf


'simple 2SLS with an AR(1) term

	equation areq2sls.tsls y x ar(1) @ z

	equation areq1.ls x c x(-1) y(-1) z
	areq1.fit xf

	equation areq2.ls y=c(1)*(xf-c(2)*x(-1)) + c(2)*y(-1)


'Simple 2SLS with a difference term

	equation difeq2sls.tsls d(y) x @ d(z)

	equation difeq1.ls x c d(z)
	difeq1.fit xf
	
	equation difeq2.ls d(y) xf

'Simple 2SLS with even more difference terms

	equation compeq2sls.tsls d(y) d(x) w @ d(z) c
	
	equation compeq1a.ls d(x) d(z) c
	compeq1a.fit(d) xf

	equation compeq1b.ls w d(z) c
	compeq1b.fit wf

	equation compeq2.ls d(y) xf wf

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